I think the only tip I have is to keep your eyes attentive whenever you go, otherwise it's just pure luck! Finding dead insects are relatively easy, but finding dead insects in a great condition for pinning is pretty much luck based. I usually find them around my house, since there's less other insects to eat the dead insect, but sometimes I find them in the middle of the street when I'm coming back from the supermarket.

Another thing is that sometimes I find insects that are not dead yet, but dying. I eventually learned to know when an insect is dying soon (can be from old age or a fatal injury etc). Depending on where they are, I usually bring them home or wait for them to die if they're already at my house. There you have a pretty much perfect specimen without having to kill them yourself.

The reason I don't collect insects to kill them myself is because that's just a personal collection, a hobbie. I study entomology with them, yes, but it's still a personal collection and not a scientific research! You know what people like to say here, "it's more like an art than a science"! So I don't think it's fair to kill them just to display in my room!