What type fry? For CA/SA that lay eggs and hatch them, I just use a hose and siphon off some from the swarm at the parents side. I never take them all but just what might be 30-50. That is way more than I want out of each spawn.
Here's a link to a pop bottle fish trap in the library of this site: http://www.cichlid-forum.com/articles/fish_trap.php
I just used it to catch my 3 month old fry. It might work for fry that are just barely free swimming but it might not. I baited mine with blood worms.