>>13026608You're going to want to make a killing jar.
Trap the live insect in a sealable container (pill bottles work great for this, though you might need a large one depending on what kind of insect you're looking for). Then take some tissue, rip off a piece, and add a few drops of nail polish remover to it. Place the tissue in the jar, seal it, and wait about 15 minutes (depending on size/species). Wait the time even after they stop moving, it'll take a bit past them for them to actually be dead.
The insect will die relatively, quickly, and be intact for pinning/mounting. They don't really have pain receptors like you would find in a mammal if that's what you're concerned about. Speedy death is the most humane.
For more delicate things - e.g. Larvae, most aquatic species - you probably want to preserve them in vials of ethanol instead of pinning.
Don't know where you are, but it's spring where I'm at, so it's not a bad time to start looking. Things are coming out of burrows in stages so that's neat. I've (unfortunately) got a bunch of Chrysomelidae in my back garden that sprung up recently.