Tutorials & Reading Material...
I really have yet to come upon a site that I've found to answer all my questions or guide me completely so here is a list of websites I've been using to learn from.
A basic overview on insect collecting.
How to relax and pin a butterfly.
A video on relaxing and pinning a butterfly.
Another great video on pinning insects.
How to put together a relaxing chamber.
I found it beneficial to read and watch a lot of different tutorials before getting started. Everyone has their own methods they like, use and trust and it's a good idea to read about pinning from lots of sources so you can develop your own methods.
Something else worth noting is that before I pin anything other than a butterfly or moth I do a quick google image search to see what a natural position to pin it in would be. Of course you're free to pin your insects legs in any position you'd like but it's definitely the one thing I always check first so I have a better idea of how my insect should look. Just search pinned plus the kind of insect (for example "pinned grasshopper").
• Spreading board. As the name implies, this is the surface you'll be using to spread your insects on. I own four right now - this one, one that was made for me, and two of these. Right now I'd have to say my favorite are these ones despite the fact they're just made of styrofoam. I like them because they have multiple grooves of different widths so they accommodate a wide range of insect body sizes as well as being large enough that I can pin a number of insects on one board.
• Insect pins. Pins come in a variety of sizes but the most common sizes you'll need to use are #2 and #3. These are the pins I currently use.
• Wax or tracing paper. If you're working with insects whose wings you'll be spreading you'll need something to keep them down since you never ever stick a pin through a wing.
• Killing jars. You obviously don't need a killing jar if you're only going to be working with already deceased insects you find but if you do plan on capturing your own live insects to pin you'll need a place to kill them quickly so they don't get damaged.
• Moth balls. Moth balls will stop other insects from getting into your collection and destroying it as well absorb moisture, keeping specimens from molding (which is something to be cautious of while relaxing dried specimens)
• Relaxing chamber. See above videos on how to assemble one. You'll basically just need paper towels or a sponge, and a tupperware container.
• Insect pinning forceps. When working with butterflies and moths you want to keep the amount of handling low to minimize the chance of damage.
• Display box. Of course you're going to need somewhere to put your insects after they're dried. I have this box. It's a bit flimsier than I had expected (Basically because the glass top is so heavy it makes taking the lid off feel strange. It's kind of hard to explain) but really, it's turned out to be a great box. It holds quite a few specimens and it looks great.
This is another one of the biggest questions I've been getting. All the insects in my collection, with the exception of the atlas moths, have been found around my yard or at my parents house. I don't plan on buying anything else for my collection (except possibly a death's head moth since like the atlas moth they aren't native to where I live) so I don't really have any advice on ethical places to purchase. I want my collection to be a representation of what can be found around me and there is a certain pride is being able to say I found, collected, identified and preserved all of these myself.
There are insects everywhere, and neat ones too! You just have to keep your eyes peeled. It's amazing how easy it is to overlook them. Tell your friends and family you're starting a collection so they can keep an eye out as well.