No tips on catching live bugs, but if you’re in a apartment situation it’s possible roaches can come from neighboring apartments. (they can even swim up pipes into your sink apparently). I had an apartment where I did the same and I still had issues. I looked under my sink and saw a big hole around where the pipe went into the wall. I bought some foaming insulation and filled in that gap. After a couple days I never saw the fuckers again. So check for any avenues where they can be traveling between units.