I keep them on a thin layer of vermiculite which I water a little bit from time to time. The roaches then drink, in addition to wet food. I've read that the nimfs are vulnerable to deshydratation.
I also keep a colony in a naturalistic setup. I cannot say yet which is the best because there are too many hiding places. I just can't count the little creatures, although I see plenty antennae and other bits an pieces of cockroach in the cracks of the bark in their tank.
I also tried a substrate of fish flakes but this setup was very fast infected with mites. So that experiment didn't last very long.