Most of the insects are rich in protein. Hence, I would suggest you first start with the well known BIURET method. If you find that still the proteins are higher than expected,then you may do the total nitrogen content using MicroKjeldhal method and then convert it to protein using some of the factors of conversion found in literature. If you feel that your insects are low in protein then go by the Lowery's method. Remember if the protein content is high and you have to dilute your protein solution several folds for estimation (say by Lowery's method)then errors will creep in and you might not even notice it till it is very late.