Group students into manageable sizes, and either let them decide what bug they're going to make or tell them what to try. They could even take some time to look in books for models of the exact insect species they want to make.
Balloons make excellent molds for paper mache insects.
Balloons of all shapes and sizes can normally be found at either drugstores or stationery stores. Some directions also advise to include glue in the paste, but flour and water will do the trick. One piece at a time, dip strips of newspaper in paste, and squeeze off excess paste with fingers. Apply to balloons, until the balloon is completely covered. Put several coats of newspaper on, and then allow to dry.