There are a few threads on this already, a search should reveal some. I don't have time atm to go into the slight differences between each feeder but a basic set up for mealworms and roaches is the basis for breeding the others. I have to keep it brief though and perhaps elaborate later.
A critter keeper works for a small colony, sometimes a finer mesh is needed for the lid, but not for mealworms/superworms, but any plastic tub will do if ventilation is added.
Put a layer of rolled oats, I mix whole and quick cooking, make it one or two inches thick. Build shelter out of egg cartons, cardboard, toilet rolls etc, its better if its stacked with as many nooks and crannies as possible. Leave one end of the tank free of obstructions so that you can add food directly to the oats. The oats will dehydrate uneaten food stopping it from going mouldy. That's about it for mealworms and roaches, crickets and superworms need extra steps to breed successfully.
Nutritious foods that are readily accepted are carrot and spinach/chard. Water is not needed if fresh carrot is added twice a week, thin slices that dry out added twice a week are better than adding large pieces that might go mouldy once a week.