Insects may be roasted and ground to a powder an mixed in a stew with other edibles. This is more palatable in most cases. This is also practical whenever you have several small things to eat, to make a stew and drink the broth and whatever is cooked in it. In some cases you can even strain out the solids and drink the broth for nutritional value. Most insects are high in nutritional content, like grasshoppers.
Grubs are high in fat and nutrition.
One thing to keep in mind in hunting any animal you are going to eat is to never expend more energy in capturing it than it is going to give back to you upon consumption. Observe when insects are least active, if they are a type of insect that is particularly active, like a grasshopper. Grasshoppers crawl to the top of grass blades during the night and become very dormant and still, They are most easily captured in the early morning, while still dormant and smacked with a twig and gathered into a basket or pocket. I have read that Indians would drive the grasshoppers across a field to another group of Indians waiting with dried grass in a row across a field that they would light and roast them on the spot. It could be hearsay.