Insects are a pain to catch. They don't just crawl around (most of them). You have to dig holes, bang rocks, shake trees and all that in order to catch some of them.
Keep your net handy and when you see an insect get out the net and swing after it.
The cocroach, fly and dung beetle are the easiest to catch. You can find cocroaches on tree trunks. Just go slowly around the trees and look at the trunks. Then sneak up and swing the net.
Planting flowers will attact other insects so plant your flowers and enjoy!