I' recommend that, for a start, you breed cockroaches. Actually, it is much easier, given the right temp, to breed them than not! Google your particular species and you will find a lot of helpful advice. I would suggest that the smaller species are generally more useful for mantis food. Do remember, though, that roaches will "hide and freeze" when introduced to mantids who only attack moving prey, so you may find it easier to either feed them directly, with forceps, or in an environment, like an undecorated 32oz pot, where they cannot hide.
It is well established that mantids are "tritrophic feeders' in that they can benefit from the nutrients absorbed by their prey, but don't worry about it beyond making sure that your roaches, in addition to their favorite fruit and veggies, receive some animal protein, usually in the form of dog or cat food. I grind mine, because i have several nifty grinders, but it is not essential.
There is a lot of info on the net about raising crix, and I know that Rick has discussed this, but most mantis breeders seem to find it easier to buy crix in bulk rather than breeding them. If you raise your own, though, you have a much better chance of avoiding contaminated stock.
Good luck, and let us know how you make out!
Edit. Just saw the old Ca question, and the answer is NO! Reptiles and amphibians have bones that benefit from Ca addition; mantids' bones are so tiny that there is no need for calcium! Don't waste your money on additives designed for the herp trade! Fruit, veggies and dog/cat food are all you need!