Honestly, for your plan to work, your house would need to be infested with geckos, then you'd be looking at something that eats geckos, something that eats the animals that eats geckos. Etc. Your best option is to cut off the roaches food supply. Clean the area that you're finding roaches with a burning passion. Then, seal off any cracks you can see. Cockroaches can fit in any space that's as thick as their head, and their heads are tiny.
There is the issue if securing the gecko as well. If the gecko isn't native to the area you live, and it escapes, you could become responsible for introducing an invasive species into the wild. It's really hard to say what kind of impact it could have on the local wildlife and even plants. Certain species of geckos can store sperm for later use, so a female that gets loose will be able to reproduce without a mate.
Even if the area is non-conductive to geckos living in the wild, it's still immoral/unethical to put a gecko into the situation where they wouldn't be able to survive on their own. It's not the same as letting a cat loose to catch mice in a barn as the cat can move onto a different area if food runs out.
On a related note if you actually care about the gecko you should never feed your it wild insects. If it's an issue of not wanting to buy insects every so often, ask how to set up a colony for it. I can tell you how to get one going. Feeder insects are a separate strain of insects bred in captivity.
Wild insects are exposed to many things in their lifespan. Chemicals people spray in their grass like weedkiller and pesticides. Poison like you're using. Insects can also carry parasites that are harmful to reptiles. This is why people breed insects as feeders, so that they know their insects are clean.
tl;dr If it's just a tool you want to get rid of the cockroaches then you should get a tool, not an animal.