Non-breakable magnifying glasses, camera (optional), containers to momentarily house insects while examining them more closely
Go for a nature walk. Talk with your child about possible places to look for insects (under rocks and leaves, on tree trunks, etc.). Capture insects in containers. Then, take pictures, observe, and release them. Take pictures of your child discovering them, too. You can refer to the photographs at a later time, too, while creating nature drawings or talking about insects and the outdoors.
Magnifying glasses may be purchased at toy, discovery, or stationary stores. Before or after the hunt, read books about insects or look them up on the internet with your child.