Hi Brett, My colleague teaches wetland ecology every year and they have been very successful using neon-pink nail polish for marking lubber grasshoppers. The difference is, lubbers are a little bit lethargic - they won't move unless you touch them, as opposed to cockroaches, which respond very quickly to the slightest movement. If you students are stealthy, they may be able to get a glob on the roaches before they find a crack to disappear into.
Good luck!
