You just have to transfect the cells and start selection with an antibiotic encoded on the plasmid.

This is how I described the method in our publication:

Construction of stable Sf9 cell lines

Adherent Sf9 cells in 6 cm diameter dishes were transfected with Cellfectin® II Reagent (Invitrogen) at a confluency of 70%. A total of 15 µg of pIR-Rep-hr2-RBE and pIR-VP-hr2-RBE as needed for the AAV serotype of choice were transfected at a molar ratio of 1:2.5. For selection and isolation of single-cell clones, transfected cells were replated on 6 cm diameter dishes at 48 hours post transfection in Spodopan medium with 10% FCS and 25 µg/ml Blasticidin S (Invitrogen) at dilutions from 1:20 to 1:500. After one week the medium was replaced to remove dead cells. Single cell colonies become visible after 2-3 weeks. Up to 50 cell clones were picked and expanded on cell culture dishes of stepwise increasing diameters. rAAV production efficiency was screened by infection with baculovirus-rAAV-GFP (MOI=3). Increasing GFP expression in infected Sf9 cells leads to green coloration of the suspension culture, the extent of which served as rough estimate of rAAV replication efficiency. Genomic rAAV titers (gp/ml) of the most promising cell clones were dermined as outlined below.

Article OneBac: Platform for Scalable and High-Titer Production of A...

Thank Mario, but the idea was to create a new cell lines from scratch, meaning from an insect. There is currently no good cell lines in mosquitoes and I am prospecting whether it is feasible.

Best

Hello Julien!  You posted this question quite a long time ago - so I don't know if you've found an answer already. But here goes anyway:

I'm also trying to establish a new cell line in insects. I based my current protocol on the following papers (see below). Hope, I could help!

http://www.ncbi.nlm.nih.gov/pubmed/22310541

http://link.springer.com/article/10.1007%2FBF00350384