For a non-insecticial remedy, try using the glue boards commonly sold as mice traps. See more here:
Pet lizards? Another method along the same line as the glue trap is to make your own glue traps. Some sturdy sheets of cardboard can be covered with spray adhesive.. these large "surface areas" will increase your catch potential.
you can also use duct tape (sticky side up) or cook down a mix of corn syrup and water and coat the cardboard with that.