First of all a few notes on the evolution of entomology. While insects are some of the most populous creatures on earth, I no longer believe that it's a good idea to continue the old catch and kill practices that I learned as a kid. Save that job for real entomologists.
For one, we now have the ability to capture beautiful images of insects with smart phones and digital cameras. Photos last longer and I would argue are even more informative because they can capture the insect in it's natural habitat, practicing it's natural behavior.
If your child is an insect lover, I highly recommend the gift of a child-friendly digital camera with a good macro feature. It could also become a springboard for them to document their collection online in a blog, or through some other kind of digital format.
That being said, I do think it's still valuable for children to handle and examine both living and deceased insects and I think it's still entirely possible to do both of those things with a conservationist mindset. When it comes to live insects, we practice catch and release, and the girls use small nets I made them from re-purposed Badminton rackets. If we find something really interesting we observe it for no more than a day, and then release it again.