I don't kill cockroaches... I just leave them alone. Usually, when they're particularly annoying, I take a handful of toilet paper to grab them with, and throw them outside the house.
My leniency has its costs. Today, I got woken up by a fucking Terraformar crawling on my arm. This has me seriously considering adding roaches to my list of animals I'm allowed to kill, together with fruit flies and mosquitos. I treat them with respect and this is the thanks I get? Ungrateful little shits. My patience has its limits...