We develop efficient numerical methods for performing many-body Brownian dynamics simulations of a recently-observed fingering instability in an active suspension of colloidal rollers sedimented above a wall [M. Driscoll, B. Delmotte, M. Youssef, S. Sacanna, A. Donev and P. Chaikin, Nature Physics, 2016, doi:10.1038/nphys3970]. We present a stochastic Adams-Bashforth integrator for the equations of Brownian dynamics, which has the same cost as but is more accurate than the widely-used Euler-Maruyama scheme, and uses a random finite difference to capture the stochastic drift proportional to the divergence of the configuration-dependent mobility matrix. We generate the Brownian increments using a Krylov method, and show that for particles confined to remain in the vicinity of a no-slip wall by gravity or active flows the number of iterations is independent of the number of particles. Our numerical experiments with active rollers show that the thermal fluctuations set the characteristic height of the colloids above the wall, both in the initial condition and the subsequent evolution dominated by active flows. The characteristic height in turn controls the timescale and wavelength for the development of the fingering instability.