Now that the temperature has dropped to levels I consider ideal, we're spending more and more time outside. We went camping for a few days over fall break so the kids and I made bug cages before we left. This was really easy and fun! You only need a few supplies and you'll be able to contain what you've caught so that you can actually observe it, unlike when you toss them in an old plastic container with a few holes punched in the lid!
All you'll need is two shallow cans (I used the blueberry cans from when I made muffins, but tuna cans would also work well), some screen and some plaster. Fill one of the cans with plaster, roll the screen into a cylinder, and put it down inside. It will take a day or so for the plaster to harden. Once it hardens, you can adjust the height of your screen and secure it if it needs any extra attention (I needed to hot glue mine in a couple of places). Then, the other can becomes the lid. You can see my step by step pictures here in case you're like me and need to see something instead of just reading about it! Now you'll have a little cage that will let your catches have plenty of fresh air and will let you observe them from all sides!
When you're going to be out, don't forget to bring a good insect guide!