I'm also feeding my leos a staple of lobster roaches and mealworms. The adult roaches aren't too large for an adult leo that has some heft (45+grams), but are a bit difficult for leos smaller than that. Fortunately, a thriving colony will have roaches in all sizes.
They can be difficult to extract from their container without losing some, but then again, so are crickets. And lobsters don't jump. I've not had any problems with escapes, they don't set up housekeeping in your walls or anything. I usually use a tall plastic cup, and shake them into that, then dump them out of the cup into the leo cages. The leos love hunting them down.