I breed my own lobster roaches and dubia roaches. They are extremely easy to culture. Water + Heat + Food = Unlimited numbers of roaches.
I've heard turkish roaches (red runners) can breed at room temperature, which makes them a possible threat for infestation if they got loose in your house.
Lobster roaches and dubia have to be hot to breed, so escapees are much less likely to reproduce.
I'd be happy to ship you several thousand lobster roaches to get a colony started for super cheap, PM me if you're interested. I don't have any dubia to spare (they breed much slower than the lobsters)
Yes, they will burrow. I feed all of my animals with forceps. This way I don't have to worry about escapee roaches, plus I get to bond with my animals a little more than I would by dumping the food in and leaving.