To Collect bugs you need:
+ a "Killing Jar" (to safely kill insects)
+ a "Spreading Board" (to spread wings & pin them)
+ a Display Box (to display them)
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Im going to show you how to do all this, SO simply & for free!!! With stuff from around your house! :D

First you make a "Killing Jar" to expire the insect.
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You will need: Glass Jar with tight lid (mines an old spagetti sauce jar), cottonball, rubbing alcohol, cardboard (mines a cereal box).

Dab a cottonball with 'rubbing alcohol', & place it in the jar.
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** The alcohol is your 'killing agent'. It will paralyze & eventually kill the insect. There are harsher, more effective chemicals you can use, but theyre harder to find. These chemicals are: ethyl-acetate, cyanide, or tetrachloride
NEVER USE WITHOUT AN ADULT, & AWAY FROM PETS!

Next, cut a round piece of cardboard, about the same circumference as the inside of the jar ....Place it inside the jar, on top of the cottonball.
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**This keeps the bug from touching the wet chemical which can damage or discolor it.**

Go outside & Catch A Bug!!! This is the funnest part!
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I recommend using a net, or you can damage the bug. Especially butterflies/moths, whos wings lose color "scales" from contact.
*Cheap Way: Use a old fish-aquarium net, like i do! ...HEY It Works!

Place bug inside the Killing Jar, & close lid tightly.
Set it aside & come back in hour or more.
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**The alcohol will eventually kill the poor bug. (faster, if u use a harsher chemical)
Say your sorry, pray, cry ...if it makes u feel better. lol

**Within 3 days you HAVE to spread/pin the bug while its soft.**
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Spreading/Pinning:
Heres my "Spreading Board" (see pic). Mine is made from thick cardboard, which i cut small slits into, to sit the insects body in.
Also cut small thin strips of paper to hold down the wings. & get some sewing pins.
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** Watch a quick video (not mine) on pinning here: http://www.youtube.com/watch?v=KFacqZ9CM4w

You could buy stupid expensive Pins to pin your bugs, but why??
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Cheap Way: I use regular sewing pins on my Spreading Board. & for the pins in the insects, i just bite the end balls off. lol It works perfectly!

(Now for most difficult parts)
Place bug body in crevice of S-board & pin it thru its middle thorax ...trying not to ever touch the bugs wings. Pin it firmly to the board also.
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**This is extremely hard for butterflies, who die with wings closed up. Takes patience. (For pics i am using a moth; much easier.)**

+ Pin one end of paper-strip above the wings.
+ Use a extra pin to easily drag wings up & out (do not pierce wing! Be very gentle). Once theyre mostly out, lay strip ontop of them, holding wings down with finger overtop strip.
+ Use the pin to contine to position the wings where you want them, (never touch wings with ur hands!).
+ Once satisfied, hold in place, & pin the paper tight on the other end.
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**This really just takes practice, its very annoying & difficult ...you will curse at some point. >.< **

Repeat for other wing.
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Once you have them lookin good...
Set board somewhere safe to dry out insect, for at least a week.

Heres a side view. :)

** You do the same for other bugs with wings ...like grasshoppers, dragonflies, etc.
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You can also use pins to position legs, antenna, stronger wings. Just move it in place with pin, & stick the pin next to it (i did this on the bumblebee & fly). **

*Once dry, the bugs become extremely fragile & break easily!*
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. anywho..a week later...
Carefully remove the holding strips, & lift the bug out by the pin.

Pin your new specimen to a Display Box, & your done!
(see how much prettier my moth is?!)
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(Learn to make a awesome Bug Display Box in my tutorial here!: http://www.cutoutandkeep.net/projects/bug-display-case )

ALTERNATE WAY: (someone asked me about this)
If you find a DEAD BUG that you like, you might be able to pin it also.
If it hasnt been dead too long, it can be re-hydrated to become soft & managable again.
All you do is stick it into a killing jar with WATER instead of alcohol on cottonball. Within 2 days, it will get soft again. ...then you do the same pinning process! (if it ever smells, i wouldnt use it tho eww)