There are lots of commercially made bug catchers out there or you can make your own.Cut a window from the side of an oatmeal container and tape pantyhose or screen over the hole.
Create props or puppets by painting upside down paper bowls to look like bugs. Add features with colored paper, sequins, google eyes, etc.
If you are going to capture bugs and keep them for any length of time remember to feed them!ants - drops of honey, raw meat, apples, bananas, etc.
You can buy plastic ants and bugs from a preschool supply catelog or online from Oriental Trading Co.