Get an old coffee can with it's lid. Use a heated knife to poke a hole in the lid. Cut a shape into the lid similar to that of a mc donalds cup. fill it 1/4 way with cornmeal and bury it outside in a dry and dark place. Bugs will fall in and not be able to crawl into it, but be unable to climb the slippery sides and get out. You can also get meal worms and other larvae this way.
WARNING! If the opening in the top can get bigger or equal to the size of a quarter, you are likely to trap mice and rats!
I would opt for the pet store, though. That way you know what you're getting.