Word of warning, resin is a pain to work with until you get a good amount of experience. It's fun to mess with and if you get it right, you'll have a really nice display piece. Problems you may run into though, are:
Heat may cause discoloration (probably less of an issue with darker species). The resin shown in the link produces a fair amount of heat.
Bubbles. Oh my god, the freaking bubbles. The only reason the best pieces I have look great is because my lab went through a full experimental regimen with resin (for embedding amber with insects in it) and found that after mixing (before adding the specimen), putting the resin in a vacuum chamber dramatically reduces the amount of bubbles. A second vacuum chamber session is necessary after adding the specimen to remove the air that gets trapped underneath it. Even with this, it still takes quite a bit of fine work with a pin to remove the remaining bubbles and there's still no guarantee you'll get them all.
Rotting specimen(?). The only large inverts I've embedded have been tarantulas, and I removed the guts and stuffed them with cotton beforehand to make sure nothing rotted. I want to experiment with a lubber grasshopper at some point to see if meaty inverts will rot after embedding or if the heat and chemicals from the resin kill everything. Personally, I'd recommend removing the innards and stuffing it with cotton just to be safe.
Resin can get expensive fast. Even the cheaper stuff they sell at Walmart or Hobby Lobby. It's not super high grade stuff like what we embed amber in (you want to talk about expensive...), but for just a hobby, it works really well.
There are some resins that cure using UV light instead. I haven't really messed with those much, but the limited experimenting I did showed they could work well.
I'd listen to the directions on the can rather than what they're saying in that link...there are a few things that don't quite sound right in their instructions.
Honestly, I'd recommend just pinning your roach after it dies or maybe spreading it into a position you like and letting it dry before putting it in a Riker mount or shadow box for display. I certainly don't want to dissuade someone from trying out resin, but those are just some observations I've had having worked with it on and off over the past year and a half.