I was going to get one of the cricket keeper things with the tubes, but the employee at the shop convinced me that the pinheads would manage to get out somehow, so I just got a regular KK and put some cheesecloth over the top underneath the lid so that there was no way they could get to the ventilation holes and out.
Today I used a piece of paper rolled up into a cone, but I think I'll go to a hobby shop or something and buy some plastic film and make a more permanent cricket cone tomorrow.