I observed insects only of fun and just air dried specimens were rather good. There are many SEM pictures of butterfly wings with scales on them on the Net, so descaling (I believe) is not needed. At least I observed them straight.
Deepika, it depends on what you want to see. If you want to visualize wing venation or basic surface features of the cuticle, it might be good to remove scales. But leaving the scales attached will give you a true image of the surface and will be visually more pleasing. Air drying is fine and will preserve the scales better than attempting alternative treatment. You may get better results with fewer electronic artifacts if you be sure to attach your specimen to the stubs with glue containing silver. Also, coating with metal in a sputter coater or vacuum evaporator will generally enhance the image.
Depends on your purposes, and on the type of SEM device (whether or not it operates under vaccum, coating is needed or not...). The supports for the specimens may vary in size (e.g. there might be problems to mount the full specimen). I would recommend contacting those in charge of the device in the first place.
You need not descale the butterfly, but you will have to make sure that you go for primary fixation and secondary fixation with osmium and glutaraldehyde.
As far as I know, a completely dried specimen (coated with gold or even not coated; but the coating enhances image's quality) can be mounted directly on the support for its observation by Scanning Electron Microscope. But also a freshly-dead specimen of small size (or a part of it) could be mounted and observed (coated with metal or not coated) immediately, without dehydration, with good results. It depends also on the type of SEM device, as Enrique Garcìa-Barros notes. Otherwise, if you start with a specimen preserved in alcohol (e.g. ethanol 70%), firstly you must obtain gradually the complete dehydration of it through appropriate steps (passages in ethanol with increasing concentration up to absolute ethanol) and instruments, and then the sample can be mounted on the support in order to coat it with metal before its observation. As regards the presence or absence of scales, I agree with David B. Conn: it depends on what you want to see. Furthermore, as the butterflies are generally not small and the support for SEM observation is generally rather small in size, only the part of the insect you have to examine must be prepared and mounted.