First, before you can eat any animal, you must kill, clean, and cook it. There are many people in other countries who prefer to eat insects live and raw, and while it is true that you could probably get the most nutrients that way, I prefer food that won't crawl off my plate.
The easiest way to kill a batch of crickets or mealworms is to take a quantity, make sure there are no dead ones, rinse them off and then pat them dry (This is easy to do with mealworms, but fairly hard to do with crickets. To do crickets, pour them all into a colander and cover it quickly with a piece of wire screening or cheesecloth. Rinse them, then dry them by shaking the colander until all the water drains.).
Then put the crickets or mealworms in a plastic bag and put them in the freezer until they are dead but not frozen. Fifteen minutes or so should be sufficient. Then take them out and rinse them again. You don't really have to clean mealworms, though if you want, you can chop off their heads. Cricket's heads and hind legs must be removed. Then you are ready to use the insects in all kinds of culinary treats!
Cream butter well, then mix in sugar, egg, vanilla flour, salt, baking soda, chocolate chips, oats, and mealworm flour. Drop batter by the teaspoonful on a greased cookie sheet. Bake for 10 minutes at 375. I often make this upon request to bring to parties. Most people will eat it (especially if they are not told the ingredients till afterwards. Of course, you're not mean enough to do that, are you?).
To make insect flour:
Spread your cleaned insects out on a lightly greased cookie sheet. Set your oven 200 degrees and dry insects for approximately 1-3 hours. When the insects are done, they should be fairly brittle and crush easily.
Take your dried insects and put them into a blender or coffee grinder, and grind them till they are about consistency of wheat germ. Use in practically any recipe!
Mealworm flour tastes and smells like dried bacon. Try sprinkling it on salads, add it to soups, your favorite bread recipe, on a boat, with a goat, etc.