Keeping centipedes is fairly easy as long as you follow one important rule

Make sure they can't escape!!!

Centipedes are real escape artists and lightning fast. Don't use containers made of thin plastic (at least 2-3 mm thick) otherwise they are able to bite there way out. It is also a good idea to house them in containers that are higher then the total length of the centipede (including terminal legs) + height of the substrate. This is not always possible but I highly recommend it if you're new to keeping centipedes. Last but not least make sure that you use a lit that is secure. In my opinion the box on the next picture is the best choice.

Centipedes like to hide (in fact you rarely see them) so give them enough substrate to dig. I use humus mixed with vermiculite and a little sphagnum (70 / 20 / 10) for tropical species and humus mixed with sand (50 / 50) for the non-topical species. They also like a hiding place. Centipedes cannot survive long without water. The substrate should be moist but not wet (if the substrate is too wet the centipede can drown). You can place a water dish in the enclosure to make sure the centipede has access to water.