I used to have a cook book full of recipes you could do with various bugs. Most of them were deserts. The only one I tried when I had it (no idea where it is now) was just a standard chocolate brownies w/ nuts recipe, but replace the nuts with mealworms. The mealworms were easy to get (pet store, fun enough, but they're safe for human consumption and you can probably buy in bulk online; you can find them inside some novelty candies, I know) and were chilled in a freezer before putting them in the brownie batter and then just cooked like normal. Honestly, they were almost indistinguishable in flavor and texture to small nuts you might use in brownies. Only did it once as a novelty thing, but not really awful.