Well, if you've already got crickets or other species of roach in the same room, then the death heads aren't going to make things worse. I think that the smell that is there is caused by dead roaches and rotten food...keep the bin clean, and it shouldn't be too bad.
There are so many smells battling for dominance in my animal room that the cockroach bins don't have much of an impact, but then I don't have to sleep in there either. The noise of their nocturnal scuttling about might be more bothersome to sleep around than the smell.
Thanks! I didn't want to keep crickets. I was planning on trying to set up colonies of deathheads and superworms as feeders for my tarantulas. I figured once they were established I could always give, trade or sell off excess to local herp/invert enthusiasts if I had to. I just don't want to keep something that will stink up the house or make the room unbearable to stay in.