Once every week or two should be fine, though it depends to an extent how large it is. You'll probably want to be careful feeding it roaches found inside the house since they could pick up nasty chemicals there. That's the general rule with wild caught stuff, but I know some people feed their inverts things they catch outside in pesticide free areas. It's usually best to try to pick feeders up at the local pet store if you can.
I agree 100% with @pannaking22. Another thing with feeding your scorpion random bugs is that you have no idea what parasites they have picked up. It's also more healthy for your scorpion if the prey items that you're feeding it have eaten well and healthy themselves. Your scorpion eats what the feeder has eaten which is why most people 'gutload' their feeders to ensure the scorpion is consuming all necessary nutrients needed for a healthy life.