I drop my crickets into my terrarium. As others have said, I like to watch my guys hunt. They're so neat to watch.
Also, it's more like a real habitat this way like in nature. If you take them out to feed them every meal, they'll depend on that to get food. So every time you take them out they'll think they're getting food. I don't handle my animals all that much, but when I do, I don't want them going into the "terminator mode" as I call it. When I'm handling them.