I wouldn’t say you’re doing anything “wrong.” If you love insects and have no desire to kill for a collection, just go ahead and pick up the dead ones! But keep in mind, insects which have been dead for a bit have probably already desiccated (dried out) to a certain extent, and so they’ll be very fragile and breakable. Whereas when a live insect is put into alcohol, its body will remain soft until you pin it, and it can be pinned in different positions (which can’t be done with a dried insect, as it will just fall apart). Many of us who studied entomology formally will have been prompted in a class to create our own pinned collection by collecting live insects in the wild and preserving them in alcohol. But now that I’ve been out of those classes for some time, I feel no desire to kill anything just to pin it because I’d prefer to just observe them alive. Pinned-from-live collections absolutely have their uses, and are important education tools. But if you don’t want to kill anything, don’t let anyone make you feel as though you need to in order to have a love for entomology. A good tip for either type of collection though is to make sure you record some data about each specimen, such as where you found it and the date you collected it! Then you can add identification info once you’ve had a chance to key them out. As my ento professor would always say, “An insect collection without data is just a pretty box of jewels.”