I can see by the results that you get that it works really well!Ive also thought of using toothpicks, but in a rather odd way..
what i did is to split half of the toothpick in half, basically creating a small tweezer, then take a tiny elastic ( the ones used for braces) and put that around the toothpick, then insert the wings of the bug into the split end of the toothpick and slide the elastic forward to close the gap and doing so also secure the bug. It worked, but it has its limitations, and to a certain degree is impractical
Ive tried variations of this, like splitting the toothpick in half and making something that resembles a clothes pin, but i found that the superglue and needle method works best.