@Bast91 I've used wild prey when possible during the warmer months the last few years with zero problems.
The only real issue is pesticides/chemicals, but if they are used there is little insects to be found anyway. If you do not use chemicals on your property, and your city is not spraying any for mosquitoes and such (you can call and ask them) you should be fine.
I live in a small city and have a small city lot that is mostly covered by the house, but find growing flowers/plants/bushes in the backyard attracts plenty of insect life and mantids included.
I personally catch houseflies, bottle flies, common moths, grasshoppers, katydids, crickets, and various related prey. The ones to avoid are any that can attack your mantid (most commonly too large) and ones with bright colors. For example avoid beetles as most eat toxic plants (and their hard shell makes it difficult for a mantid to eat anyway) and can hurt your mantid from the toxin such as lady bugs, milkweed bugs, stink bugs, etc. In most cases though a mantid will not eat or vomit out anything it should not eat.
In reality it all just depends on what is available in your location (which is not listed).
Although a sweeper net (even the $2 butterfly nets work for many things), a simple fly trap, and a back porch light at night should provide plenty of feeders.
