In Africa, frying locusts in palm oil is common. What kind of stores might sell them? What's the basic technique for frying them, and how would I add seasoning?
Good information at InsectsAreFood. Scroll down for a decent list of places to buy. There is also a site called BizarreFood.com that has a shopping page with all sorts of bagged and canned bugs. It appears that the UK has the best-developed edible insect markets. If you live elsewhere, you might want to research your country's laws, regulations and requirements before you order.