I've cultured them outside during the warmer months fairly well. They're native throughout much of the US, so you just need to attract them and wait for them to take over the culture bin. It was pretty nice, but took forever for them to find it (~ a month). Once they're there, they produce pheromones that draw in the others, and you do great.
I tried some stuff indoors, but that was something of a disaster that I'd prefer not to talk about . . .