I can only speak practically about insects in the US however, it is my experience and also from things I have read that any insect is edible. Priority-wise you would want to avoid insects with poison and stingers, however, there are ways to prepare even these, similar to eating venomous snakes, remove the poisonous parts, then prepare the rest of the insect. Of, course this means having a knowledge of where the poisonous insects poison sacs are located. You also want to remove all parts that would hang in your throat, like legs and wings. It is also best to remove the head in most cases.
All wild meat should be cooked thoroughly, for wild animals contain parasites that can get into your system, this includes insects, even small ones. Insects may be roasted and ground to a powder an mixed in a stew with other edibles. This is more palatable in most cases. This is also practical whenever you have several small things to eat, to make a stew and drink the broth and whatever is cooked in it. In some cases you can even strain out the solids and drink the broth for nutritional value. Most insects are high in nutritional content, like grasshoppers. Grubs are high in fat and nutrition.
One thing to keep in mind in hunting any animal you are going to eat is to never expend more energy in capturing it than it is going to give back to you upon consumption. Observe when insects are least active, if they are a type of insect that is particularly active, like a grasshopper. Grasshoppers crawl to the top of grass blades during the night and become very dormant and still, They are most easily captured in the early morning, while still dormant and smacked with a twig and gathered into a basket or pocket. I have read that Indians would drive the grasshoppers across a field to another group of Indians waiting with dried grass in a row across a field that they would light and roast them on the spot. I have not tested this, so I don't know how practical it would be or if it even works.