There aren't many people that do collections like that, from what I can tell. Most of the people I know work with insects for a living, such as my former boss that dealt with agricultural insect pest detection, or people who work/teach entomology at the college I went to. Someone my parents know has a butterfly collection, but I don't remember much about it.
I had to do a bug collection for entomology class, and there was an option to keep the collection afterwards. Some of my classmates kept them. I didn't keep my collection.
Random trivia: Some insects can survive more than a night in the freezer, cranefly legs tend to fall off, and some of the ground beetles and ironhide beetles have really tough shells, making it really difficult to put a pin through them.
If you want to learn about insect collecting, you could probably visit a nearby university that has an entomology collection and ask them about it.
Just don't go collecting insects while in line of sight of park rangers
