Kill the cockroach by placing it in the freezer. After two to three hours in the freezer, it should be good and dead. Take it out of the freezer and remove the cockroach from the container. Be careful handling it as not to damage it.
(Note: Dr. G says you should always wash your hands after handling cockroaches as they have been known to cause allergies.)
I covered the holes on the top of the salt shaker with a piece of painters tape after concern was raised about placing a cockroach in the freezer with a container that had holes in it. I highly recommend a fully sealable container to circumvent this problem.