Discovered accidentally by a landscaper here in Las Vegas, here is the report on KVBC Las Vegas with a link to a video broadcast (upper left part of the story is the video link).
It is simple:
Take an empty pickle jar, or mayo jar (glass) and put some used coffee grounds at the bottom of the jar and add just a little bit of water. Set the jar by a wall (or it was suggested to put some masking tape on the outside of the jar so the critters can climb up) and set the jar out.
The cockroaches seem to like the odor of the coffee grounds, crawl up and fall into the jar and cannot get out.
Certainly a cheap method, ecologically sound, and what have you got to lose by trying it?