One guy would string up the dead cockroaches as a warning to the others that they are not welcome (thought is was kinda funny in a sick way).  Another guy used hand sanitizer to burn them.

Come to think of it, I've run into some pretty twisted people here.

Now for a real answer.  Put some glass jars against the wall with stuff like watered down coffee grounds; it works as a cheap trap.  Also soapy water sprayed directly on them works pretty good.

I was going to make a chenguan reference, but I think that would be redundant.

I've been told that a Chinese secret is to sprinkle laundry detergent around on the floor.The cockroaches will eat it, which won't necessarily kill them, but once they drink some water they will "explode".

I always used a glass of stale beer to trap them. Stale beer is to cockroaches what sunlight is to a vampire. If you've got a bad infestation, expect to see a half doen dead roaches within 24 hours. Like DaBen said, just put it up against a wall.