I do sometimes Duzzy, I have an old plastic box that i put them in along with some foliage. Then drop them in the fridge for a while before shooting to cool them down and make them more docile. I usually shoot outdoors though, but sometimes I see an insect and aren't prepared with my camera, or have no time to go grab it, so i take the insect for shooting later.
I know some folk who kill them before imaging so they have full control, but I prefer not to do this.