It will depend to an extent on what volume you propose to inject and whether you need whole haemolymph with "functional" haemocytes, haemolymph fractions, or clotted fractions. Can you provide some more specific information about your requirements? Also, what species are cockroach are you studying?
To get the discussion going, I will make a suggestion based on whole haemolymph extraction from Blaberus discoidalis (West Indian leaf cockroach). The haemolymph clots extraordinarily quickly and powerfully in this insect, so if you want to recover haemolymph and haemocytes you need to inject anticoagulant (10 mM EDTA, 0.1 M glucose, 30 mM trisodium citrate, 62 mM NaCl, and 26 mM citric acid monohydrate, and adjusted to pH 4.6, 370 mOsm). Closely related cockroach species have similar haeemolymph osmolarities (around 370 mOsm).
Anaesthetise the roaches at -20C for about 15 min, surface sterilize with 70% ethanol, and inject about 0.4 ml ice-cold AC between the 2nd and 3rd abdominal sclerites using a 27G needle. Massage the abdomen gently to allow the AC to circulate for abut half a minute, then puncture with a 21G needle through a droplet of AC placed on the arthrodial membrane of a posterior limb, and the haemolymph will then seep out and you can collect it with a syringe containing a further 0.4 ml ice-cold AC. Then immediately pool and mix the haemolymph into whatever buffer you need for your experiment (e.g. 6 ml ice-cold 30 mM MOPS buffer pH 8, 370 mOsm. - or many people use Grace's insect medium at this step - saturated with phenylthiourea (PTU) to prevent melanization).
If you want plasma supernatant you can then centrifuge the haemolymph twice (600g for 5 min at 4 degrees C - this is a very low speed to prevent the haemocytes from popping).
An old, but good, reference you might want to check out is: Leonard, C., Soderhall, K., Ratcliffe, N.A., 1985. Studies on prophenoloxidase and protease activity of Blaberus craniifer haemocytes. Insect Biochemistry 15 (6), 803–810.
I will probably be able to provide some more advice if the above doesn't suit your needs.
If you are not using a blaberoid cockroach the clotting issue is almost non-existant. Species of the Blattidae and Blatellidae can be bled without or with minimal dilution using a capillary tube to collect the drops of serum coming from a coxa that had its femur autotomised by gentle tugging. The serum can be collected by centrifuging the serum in micro-centrifuge tubes and a small crystal or aliquot of PTU solution added to prevent melanization.