Keep them well-ventilated and somewhat dry, I had the worst die-offs when they were too humid--just make sure to provide them with fruit or a source of water to drink from or else they will not produce many oothecae.
The oothecae require humidity or they will quickly dry out. They'll take several weeks to hatch depending on the temperature and will take months to reach maturity, so you'll need to start with a large number if you want to keep a sustaining culture to feed from.
I feed mine with fruit, pollen mixed with sugar water to make it the consistency of dough, and occasionally some layer pellets from my chickens for the minerals--they tend not to eat much of the pellets and it can get moldy if they drag it near the water source, so I don't give them much.
I go through a few thousand large ones every month to feed my pets,