Use a net to catch things like butterflies or something like a plastic cup and a piece of cardboard for smaller ones. If you aren't squeamish bare hands are often easiest. You can also put bait in a cup laid on its side and wait for them to enter.
For killing, a glass jar with a tight lid and an alcohol-soaked pad in the bottom will provide a final high and a quick end, then lay them out flat so that they dry and stiffen in an attractive configuration.
