I've done it with some success. They don't stay contained in the grow area but most seemed to hang around. The seemed to clean things up. As an extra bonus my kids loved them - even bought little ladybug playgrounds for them!
Last week I put an order in for 1500 lady bugs 1,000,000 nematode, Praying mantis eggs and 1000 lacewings going to set them free inside and out. I really want to get a head start on the pest this year, even buying an electric fence to put around corn beds Not messing around this year!!! Â Â
If neem oil is burning your plants it's because you're applying it wrong in some way - either too heavy of a dose or you're not emulsifying it well enough if you're mixing it yourself. I have used it across dozens of species for many years and it's an almost harmless panacea. The few times I have seen burn it was because of user error on my own part in terms of emulsification.
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As for lady bugs in grow rooms it's been my experience that the bugs will just blast themselves into the light sooner or later and fry. There's also the issue that many commercial sellers harvest from the wild and are displacing native bugs which will mostly fly away as soon as you release them. Evidence isn't great for the use of importing ladybugs compared to other beneficial insects.