A question dear to my tastebuds. Looking at the archeological record, the two most commonly consumed insects since ancient times are grasshoppers and ants. I’ve dined on both on long survival courses and will always take grasshoppers for a prime entrée. The key with harvesting insects is to take advantage of their metabolism: when it’s cool out they are sluggish and easier to catch. Try hunting for them during the morning hours.
For grasshoppers, I use a pencil-thick, green shoot of willow about three feet long to catch them by bending up one end and flicking it down lightly on the grasshopper to pin it in place. On really cold mornings, you can just grab them off the ground or grass in meadows and easily fill a bucket in 30 minutes. These critters are like Powerbars, with 6 grams of protein per grasshopper.
Don’t eat them raw, as nearly all insects, save ants, have external parasites. We do what the ancients did: remove the legs and wings from a pile of grasshoppers, place them on a rock slab in the center of our firepit, and let the hot coals roast them until crunchy (about five minutes). It’s going to sound like you're eating a bag of Fritos, and the taste is nothing like chicken. Tabasco goes a long way with such meals.