I found a screen door in the trash last year. I used a jug and some rubber bands to cover the jug opening with the mesh. Not convenient but it held my dubias until I got a proper bin and found my glue gun. some old thin cloth can work too.
I've had success with inexpensive weed control fabric. Not the plasticy stuff, but the fibrous gauzy black fabric. It keeps tiny nymphs in too. I just use a glue gun on the edges, smooshing the fabric into the glue as I go.
