Crickets and dubias are the best food for baby dragons. You can supplement with other types as they get older but those are the best primary insects. Crickets are fine if you can't handle dubias.

If your willing to try dubias though, they do look very different from the American pest roach, I believe its called the German Roach. Dubias are tropical and look like beetles, in fact I actually call them tropical beetles instead of roaches to not freak out friends and family. Depending upon how cold your house is, they will most likely not be able to survive if escaped and will definitely not be able to breed so you have no worries about an infestation.