Hello,
Your dragon definitely doesn't need to be a vegetarian. My advice is to do what is easier for you
but still keeping him nutritious food around.
I have successfully kept crickets, for years. The key is to basically keep their tank cleaned out.
I use a chicken watering system with a foam donut for water so they don't drown. If you don't keep
the bin cleaned out or change the water then it will likely have some smell.
As Karrie suggested, silkworms or phoenix worms are great also. A lot of people do feed roaches
but it does take time to get a colony going.
Tracie