Just net them as they fly by. Or make a trap for them. Large numbers of insects are attracted to lights. They avoid yellow or red. Swimming pool filters.
Insects fall in the pool and are filtered out.
Many rare ones came from here. There are many good books that give detailed instructions on Insect collecting and identification. You will probably begin using picture-book identifications to Order and Family. Later you may progress to books with identification keys. Most libraries will have some good books to start out with.