Take off and nuke the site from orbit. It's the only way to make sure.

Seriously, you can clean it, but who knows what surprises (eggs?) might still be in there - I'd say at the very least, once you clean it as best you can (and with the droppings that are no doubt in there, that's not going to be 100% clean), be sure to quarantine it in something for a good while - just to make sure.

In answer to one of the other questions on the topic, yeah - I remember reading somewhere that roaches are actually attracted to electromagnetic fields.