"Wasps of this species sting a roach twice, which modifies the behavior of the prey. A recent study using radioactive labeling proved that the wasp stings precisely into specific ganglia. Ampulex compressa delivers an initial sting to a thoracic ganglion of a roach to mildly paralyze the front legs of the insect. This facilitates the second sting at a carefully chosen spot in the roach's head ganglia (brain), in the section that controls the escape reflex. As a result of this sting, the roach will now fail to produce normal escape responses.
The wasp, which is too small to carry the roach, then leads the victim to the wasp's burrow, by pulling one of the roach's antennae in a manner similar to a leash. Once they reach the burrow, the wasp lays an egg on the roach's abdomen and proceeds to fill in the burrow entrance with pebbles, more to keep other predators out than to keep the roach in." Link.