First, obtain your roach
Not as easy as you might imagine. The one pictured is not a European species; common house cockroaches do not grow that big. To obtain one that big you'd have to buy it from a specialist supplier (who might well balk at selling animals for what is at best unskilled experimentation).
Then you have the fact that the procedure is going to be a tricky one to perform. You're not going to get this right first time on the first roach you get, this is going to need practice, and practice means lots of live victims which won't be alive after you're done. With the average child, factor in boredom too as the procedure is going to be extremely fiddly to perform. This won't mean just a few roaches killed, but a couple of dozen perhaps.
So, after you've learned how to freeze-anaesthetise the insects properly (killing a few, drowning others), you have to learn how long to freeze them for, and how hard you may grip a feebly struggling and quite slippery insect to sandpaper its head. Once you've had a bit of practice, and wiped cockroach guts off your hands a few times, you'll be ready for a spot of antenna-snipping.
This won't be easy either, nor will lining up the hole in the antenna with the fine wire. This is really a job for a binocular microscope, but you're not going to have either the excellent Wild microscope I had in one place I worked, nor even the crappier East German Zeiss I used later elsewhere. No, you're stuck with a single magnifying glass. Best of luck, you'll need it.
Inserting the ground into the thorax after this won't present much of a problem, and you'll overcome cross-talk with RF interference making the roach walk in random directions quite quickly, though not perhaps as quickly as the cockroach dies of dehydration (remember, this is a shop-bought tropical cockroach, and likely a leaf litter detrivore and not the dehydration-resistant pests we are familiar with).
At the end of this blood-bath (well, haemolymph-bath) of an experiment, you briefly have a remote control cockroach which will occupy a child for all of five minutes.
Was it worth it?