I put this step first because if you're going to order roaches you should do that before you make the habitat, so that by the time you're done, the roaches will arrive.
If you're going to catch roaches yourself, build the habitat before hand.
How to get roaches:
A) catch cockroaches that you find running (at work, at home, street, etc). They can be found in abundance in dark, damp areas: They need access to water and they like the dark. To catch them put moist food in your sink, turn off all lights, Wait near your sink with a plastic cup. Turn on the lights (or use a headlamp) and slap the cup on top of any cockroaches you find chowing down in your sink. Slide a piece of paper benieth the edge of the cup to trap the roach. Transport the roach to a container. It's best to collect them in a container which is already prepaired to raise them (see rest of instructable), because otherwise it will be hard to transfer all of them to a new container without losing some.
B) buy cockroaches (almosy any species) from Roachman Willis:http://www.angelfire.com/oh2/Roaches/Roachman.html
You send him a check, he sends you the cockroaches. He is very expedient, very helpful is you email him questions, and a pleasure to do business with. He's also the cheapest source of cockroaches anywhere. If you buy from a scientific biological supply company they cockroaches will be more than twice the price. One advantage of the latter is that you will be sure to get all fully grown roaches. But they will send the exact amount you ordered and some will probably die in shipment. Meanwhile Mr. Willis will send more than you ordered (to ensure you end up with as many as you ordered if not more). Also if you really need adults, you could probably specify this to Mr. Willis and he will oblige as best as possible.
The chick picture is one that came up on google images when I typed in 'catch roach', there weren't any better pictures.