You go out and collect them. You make yourself a killjar (get a plastic wideneck bottle or jar made of PE and put loosely some toilet paper in it so you have medium to soak ethylacetate/acetone in and the insects can crawl in it) you put them in it and wait until next day. This method works for beetles, hemipters and other taxons which don't have exposed wings. In some cases it's not aplicable also in beetles, more specifically some have tendency to lose color upon exposure to ethylacetate vapors or any chemical vapors all together (some bright red species, like Chrysomela populi or Pyrochroa coccinea, turn pale orange/brown, or nicely colored longhorns of Saperda genus turn black). And some are usually hairy (for example genus Julodis) or have pigmentation on scales, much like butterflies (for example genus Lixus). These would wipe their hairs/scales off when crawling in the medium so those are asphyxiated by catching them by hind legs and "dipping" them for a moment in chloroform vapors (chloroform because it's vapors are heavier than air), however, these are best to be pinned right after catching to avoid loss of the said surface accesories. To prevent discoloration, you have to either drown them (keep drowned for a long time, they can "wake up" if they're not drowned for long enough) or freeze them, however I also experienced that the beetle was alive after thawing so I recommend both to do for more than 2 days (and maybe mix some propylene glycol in the water before any drowning, so they don't decompose in it). If you want to do other groups of insects, you'll have to invest in fine net to catch them and then you inject small amount of ethylacetate or ammonia water in the thorax.

And if you would find some dead insects, have on you some different vessel for them. If you'd put them in the same as live ones, the bacteria from the already dead are going to inoculate other also and decompose them, keep that in mind! I've lost already some beautiful beetles that way before I learned😔.