Some ferrets love crunching on insects - I remember being totally grossed out when I caught Friskie with what I thought were a couple of hairy old twigs sticking out of her mouth until I realized she was chomping on a Huntsman spider. Eeeuuww. I wouldn't let her give me any licks for a day or two till her spider-breath dissipated
I guess if you wanted to give your ferrets insects as a treat, then you'd be able to find cans of them at pet stores which also supply food for reptiles.