laydown a large peice of cardboard in an open area with crickets and check underneath the next day, look under rocks and debris, or buy them.
Catching them is one thing, training them is another. I kinda remember something from Boy's Life magazine a LONG time ago about cutting a hole in the side of a shoe box and baiting it with cut potatoes to catch them.
Chicken feed (mash) or crushed up dry dog food is a good cricket bait. If you do a google search for raising crickets you'll find several useful ways to go about raising them. heres one- http://www.cichliddepot.com/diy/crickets.html -Jeff