Thanks for all the advice guys! Grif, I don't think the dubia has burrowed yet, I tucked the substrate pretty tight and it hassn't been in there for that long. But I will keep it in mind, and when I give it a check tomorrow morning, I'm hoping to see more missing then just a dubia. I'l definately pick up some nightcrawlers and mice, I do want to get him some nice fatty mice inside of him, hoping I can fatten him up and make him crave food a little more.
We'll see how tomorrow night goes, I'l be sure to post an update.