The first steps would be to double-check the physical barriers of openings into the room: Make sure any windows to the outside are well sealed (weather stripping where applicable where they open, gap-filling foam around the framing, and seams caulked outside). Check any doors for a good seal, and consider adding a door sweep to the lower edges of any that have a significant gap. Inspect the baseboards for any gaps between them and the wallboard.
Also, make sure any electrical connections coming into the room (light fixtures, electrical outlets, etc) are firmly secured to their mounting boxes, and sit flush against the walls and/or ceiling. People don't think of those as pathways for things, but if you've ever found a bug in a ceiling-mounted light shade, you know plenty of things move through walls and emerge there.
Then, get some small
glue traps, and place them around the room at strategic points (under windows, in the corners, near doors, etc). Give it a couple of weeks, and see what shows up where. That may give you some idea about where they're coming in.
Good luck!