Crickets are really hard to catch in grassy areas. It's easier in rocky/sandy areas. But you will very quickly deplete the local crickets, at the same time running the risk of parasites or pesticides... and that's only for the summer months, really.
Mealies are easy to breed, though- get ~300-500/ gecko and some OLD FASHIONED oats and you'll be in business. Roaches are even easier, but I understand the reluctance. I left the top off accidentally for maybe an hour and when I saw that I almost had a heart attack.
Mealies and roaches are def the way to go. Remember that it will take anywhere from 2-5 months to establish a succesful colony of either feeder. Roaches take 3 months to sexually mature and then about 3 weeks to birth the live young. Plus they are quite expensive to purchase in the begining. Mealworms are cheaper, mature faster, and don't smell as bad as roaches. Either way make sure you don't have to dip into the colony until it is established or all the work will be for nothing!