I've tried several insects I've caught with the same idea you have, Jimbo. I microwaved all of them except for dragonflies and a luna moth I found while dragonfly hunting. Crickets tasted slightly nutty, and grubs tasted pretty much just like walnuts. Worms tasted like fish, dragonflies tasted like soft-shell crab. My friend who also tried the dragonflies with me thought they tasted like slightly salty potato chips. I just happened to have soft-shell crab a couple days later for the comparison. I don't recall what the luna moth tasted like, I was probably too distracted as it must have been full of eggs because there were tons of "seeds" that were very hard to crush with my teeth, and got stuck everywhere in my mouth.