Hey there Acidburn,
crickets from the pet store work fine, If you want to keep them a while you need to make them a home. Get a plastic shoe box sized container and poke lots of holes in it's lid. You could also use an old 1-5g fish tank. put an inch or so of aquarium sand mixed half and half with potting soil on the bottom and at one end push a small shallow dish or clean ash tray down into the sand and put a small sponge or some cotton balls into it, this is the water dish and you need the sponge because crickets will drown in standing water. at the other end of the container put another dish for food. Now add some chunks of cardboard egg carton, use quite a few just piled in there, wash out the sponges in clean water at least once a week and clean out the cricket droppings at least once every two weeks, Feed a tablespoon of food at a time and discard leftovers if any every 3rd day or so.
How much food you go through depends on how many crickets you keep, a 2 1/2 gallon can easily keep a couple hundred crickets easy and after 1-2 weeks you should start getting pinhead crickets. If you don't want them to breed omit the soil/sand mix, (it will be easier to clean).
A good food that gut loads them for your fish is a mix of dry cat food, fish pellets, a dusting of repti-cal, dried algae like spirolina flakes, a dusting of powdered milk, and color enhancement fish flakes, (you can also add garlic powder and vitamin supplements). Just crush the pellets and cat food into granules and put everything into a ziplock bag and shake it well to mix. Keep the mixed food in a dry place and give it a good shake before using it. Also give them bit of lettuce and apples.
Crickets eat and breed best when warm so a good place to keep the container is on top of the fridge to take advantage of the waste heat.
You don't really need to gut load them but If you keep batches of crickets on hand you should feed them so why not use stuff you want your fish to get? If you feed wild caught insects like aphids or earwigs just make sure that they don't come from a pesticide sprayed area.