I like to use cardboard toilet paper tubes for my dubia, and they seem to prefer them as well. They will pack into some of the tubes really thick depending on where they are setting up camp in my tubs (I use 50 gallon storage tubs). This makes collecting them very easy as well- I just grab a tube and shake it into a big plastic cup. In colonies that are well underway, sometimes over 100 of all sizes will shake into the cup from a single toilet paper tube! Usually it's more like 30 or 40 though. Meanwhile other tubes in the tub may be empty- like lizards they choose where to go for comfort.
Another tip- the more you start with, the easier it will be to establish your colony. Dubia are easier to get going in large numbers. I think this, as well as the experience with the tube density I mentioned above, is due to the fact that roaches control humidity by packing up and breathing together. Probably temperature too.
And finally, I like to sort my dubia as I feed- I grab a tube, shake it into the cup, and then I sort all the adults out and put them into a new tub to start a new colony. I keep sorting the adults out until the first tub is empty, and by then the next colony is producing and ready to feed out of. I can then just dump the frass out of the first tub and spray it out with the hose, and fill it with new cardboard tubes and then I'm ready to start sorting from the next colony as I feed again.
I don't add extra water- only wet food and dry food. "wet" food would include vegetables, fruits, leafy greens, table scraps of all sorts- this is all mine have ever needed for moisture.
I also don't heat mine other than ambient room temperature, which where they are in the lizard building ranges from upper 80s maybe even into the 90s (some tubs are up high by the ceiling where it can get hot, some are down low on the floor where it is cool) to low 50s depending on season and day or night. Naturally they produce the most when it is warm, but when they are cold, the lizards are cold and not eating so much either, so it works out fine for me...