Most people cover the glass with some cling film and punch a few holes through, but it will work fine without. The main advantage of the film is that the liquid won't evaporate away, and the trap will be good for a couple of weeks.
To be slightly more specific, the soap changes the surface-tension of the liquid, causing it to, er, schlorp onto the insect in a way it does not expect.
That reminds me of JBS Haldane's classic essay "On Being The Right Size":
> An insect, therefore, is not afraid of gravity [...] But there is a force which is as formidable to an insect as gravitation to a mammal. This is surface tension. [...]
> An insect going for a drink is in a great danger as man leaning out over a precipice in search of food. If it once falls into the grip of the surface tension of the water -that is to say, gets wet - it is likely to remain so until it downs. A few insects, such as water-beetles, contrive to be unwettable; the majority keep well away from their drink by means of a long proboscis.