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I had some difficulty at first finding the cockroahces in Icecrown as well, but there are tons of them. They seem to spawn in a very spread out manner. The best method I've found is to fly around the main "horseshoe" shaped area along the edges where the ice cracks apart against the mountains. By the time you do a full lap of the outer and inner edges of the horseshoe, the ones where you started will have respawned already. Visit Ymirheim and the Nerubian place if they get too thinned out.