This is where tong-feeding actually becomes handy . . . although in my experience, a well-packed substrate makes them less likely to burrow, and the nymphs are more prone than the mid-to-large roaches.
Alternatively, you could headcrush them like you would a cricket.
On a side note, some species are worse about this than others.
B. latteralis hardly burrow at all (although they're pretty dang fast runners), while the discoides roach colony we're taking care of seem to be the worst I've seen (I'll loose them the second I put them in a tank with substrate they could conceivably burrow into).
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