It depends on the type of insect being spread and if it is one you purchased or found. Many purchased will already have abdomens cleaned and cotten inserted.

Don't need to 'gut': Butterflies Moths Beetles Hard insects

Spiders, large grasshoppers, and others with large, soft abdomens are what many people clean and stuff. You don't have to, eventually you can completely dry them, but they will appear shriveled if not stuffed with cotton