What most naturally follows?

How to dissect a locust
Acquire a locust.
If you have locusts in your area, you might be able to. You could also use a grasshopper as an alternative to a locust.
If you're doing this for a school project, the locust will likely be provided for you. If not, buy a locust dissection kit online so you have everything you need, from the insect to the tray and tools.