Trapping insects is a very fun and easy hobby. No, put away that #3 foothold, and get out your plastic cups and a hand trowel.

A One Cup Trap

First, dig a hole in a likely looking spot. (Under a rock, in some thick grass, somewhere where people don't go too frequently) Dig a hole a little deeper then the cup. Insert the cup into the ground (try not to get to much dirt in it) and pack the dirt around it to make it look undisturbed. Now, you can either fill it with soap water or leave it dry.

A Two Cup Trap

I prefer this method of insect trapping to the one above. This is because you can remove the upper cup that contains the insects on do what you want with them, and the bottom cup does not let the dirt fall into the hole that you spent hours digging. :-) The way you make this trap is to do the same as above, but with two cups stuck together.

You can buy traps online, but the quick ways I have listed above are all you need to create an effective, cheap trap.