You could drop them into a bucket of soapy water. That should kill them and is safer than using pesticides. You also don’t get the crunching noise and brown goo like you do from squishing. :)
Where do you live? Do you get a good frost? If so, maybe a decent freeze will finally kill off this generation and they won’t come into the house. Do you know what kind of insect it is exactly? There are a lot of species of stink bugs. I only ask because knowing more specifics about the insect means you can predict its life cycle and make sure your home isn’t serving as a place for them to keep their life cycle going. For example, if something in your basement, attic, or walls is attracting them as a place to lay eggs and raise young, getting rid of whatever that is will get rid of the bugs.
If they’re just coming in to try to stay warm, you might just have to wait for the invasion to end. Keep the soapy water handy!