I do not allow any pesticides or other bug-killer in my reptile room as I have several frogs, tarantulas, and a roach colony that could be really easily affected by it. I also don't allow any long-lasting poisons that the insects take back to their nests on the chance that poisoned insects from elsewhere in the apartment might make it into the reptile room. I do the same thing you do with escaped crickets for that reason as well.
I can't think of any off the top of my head, but there are tons of 'no poison' methods to try killing bugs floating around the internet. If you don't have any inverts you might look into diatomaceous earth: It gets between insects' body parts and cuts them apart. Harmless (basically it's sand) to everything else though.
Seconding the diatomaceous earth. Borax works in a similar way but I would not recommend that in a reptile room.