Technically if you don't cheat or only do heists, you can't put the characters directly in the cells. You need to earn money to upgrade their devices and the way to do that is to put them first in the Strip Club (because that's what the device allows at first), then the Bordello and then you can unlock the device and put them in the cells. Theoretically it's possible to never put them in the Bordello and earn the needed money in the Strip Club, but why would you when you get more money and better content in the MB?