Unfortunately they're really hardy and ingenious critters. The best thing you can do is keep them out of your home/room in the first place. Obviously sealing entries to the room as best as possible is going to be amazingly important. They do however manage to compress themselves very well and will squeeze through any kind of crack so the tiny opening you thought they could never fit through is probably where they get in.
I had a horrid infestation and ended up getting a caulk gun to make sure all the crevices were closed including on the screen door. It's a very cheap solution to keeping them out even if you have to also foot the bill for a few replacement screens on windows.
If there are any plants in the room or very near the entrance a very diluted solution of dawn soap and water in a spray bottle on the leaves of the plants will help keep them at bay and it won't hurt the shield bugs or the plant. Just the leaves though!
To keep you from having to come to the rescue all the time and provide a little peace of mind a light trap does wonders and can be placed in a closet to keep you from staying up all night due to brightness. You just need an empty jug (like a soda jug with the top portion cut off about half way down) or container (larger pickling jars are great!) with smooth sides, a funnel made of heavy duty paper lined in plastic wrap (something to make it smooth) or even a kitchen funnel, and a light bulb. Place the funnel into the top of the jar and provide a way for the insects to get up the side; I just make a ramp with some paper. Place the light above the can slightly and put it in the closet or somewhere the light won't disturb you. Every morning just empty the can outside with all the critters you catch.
Hope that helps!