Here is the "recipe" in several places, but there are no pictures (so I hope you have fun experimenting and take time to come back and share pictures of what you and your kids create!) Basically, you use packaged crescent rolls and shape them into bug shapes (I would think just rolling the triangle up would work, unless you wanted it to have wings, and then you could roll part for the body and leave part flat for wings). Add pretzels for legs, raisins for eyes, brush with honey (before or after baking - each recipe has different instructions - I imagine it would be a toasty glaze if you put it on before baking). Bake as the crescent roll package instructs -- except I would think that if you use flat pieces for wings, it might bake quicker, so keep an eye on it.
Googling "bug recipes for kids" gives lots of other ideas, too (many with pictures). And check out Pinterest for bug recipes for kids.