Information presented here is intended to enhance the contents of A Field Guide To Common Texas Insects by Bastiaan M. Drees and John A. Jackman (1998, Gulf Publishing Company, Houston, Texas) which can be obtained from commercial book sellers. Additional tips for collecting species and species groups covered in this book have been posted herein.
Insects and their relatives are found just about everywhere. The number of species of insects estimated to occur in Texas is 20,000 to 30,000. Collecting, preserving and displaying insects and their relatives (including spiders, mites, ticks, scorpions, millipedes, centipedes, sowbugs and pillbugs) can be accomplished, for the most part, with equipment available at most 
local stores. However, specialized professional equipment is generally not locally available. Nets, pins, vials, cases and other supplies used for developing collections are commercially available from a number of companies through catalog orders. Serious collectors are encouraged to take time to order equipment specifically developed for this purpose.
When collecting, honor responsible access to properties and respect regulations and policies that may apply when collecting in local, state and federal park lands (see below). Seek permission to enter private property and practice care when collecting along roadsides and open lands. Contact park officials before arriving or upon entering parkland to obtain permission to collect there.
More in-depth information:
Ten reasons for collecting and preserving insect specimens
Endangered species, state and federal park rules, habitat preservation and over-collecting issues
Donating specimens to museums and associated tax benefits
Purchasing specimens