Or you could call them bracelets since my kids just wore them on their wrists. I got the idea to use toilet paper rolls for the insect legs from Homemade Mamma. First you cut it the long way to open it up, then cut it in half the other way. Then cut 3 slits in each side for the legs.
I put out construction paper and the kids were able to cut their own bug parts. Then they glued them to the legs.