A technique for capturing bugs is to have a light or flashlight near your bed, so you can quickly turn an hour before dawn which is when the bug is most active. If the light switch is far from the bed and getting up is necessary, it is preferable to have a flashlight, to not alert the bugs and do not give them time to hide before capture.
If you are awake, turn off the light and have the flashlight around and inspect the mattress. The bed bugs are not slow in their movement, some move as fast as ants. If they are fatter because they just feed on blood, will move slower.
See also Tips To Get Rid Of Bed Bugs
You can use sticky traps in some areas around the house or bed to protect, can be used along with some attractant such as a heat source such as thermal blankets or similar inflated balloons with our mouths, they are a source of carbon dioxide and this last attracts the bugs, this method can be used to trap and thus detect the bed bugs.
There are different opinions about the effectiveness of this method. There are also commercial traps like flea traps whose effectiveness is also questionable except for use as a means of detection.
Perhaps the easiest method to catch bed bugs is to place long stretches of double-sided adhesive strip around or near the bed to protect it. You should check the strips after a day or more.
Interesting fact: The spider Thanatus flavidus has proven to be a predator of bed bugs.