I went for insects two days before with my native Kunming friend and new French friend. Actually, I'm afraid of them. But both of them ate the bugs, what can I do? Just eat!
I looked at them, and chose a small locust. Emm~ not bad but a little weird. Then I picked half a bamboo worm, I couldn't think what's in my mouth, but just chewed it quickly. I think it tasts nothing. But my Kunming friend likes it.

I think it's not a bad experience.

Don't be shy, there are lots more options and maybe you can find one you like:
www.gokunming.com/[...]

I went for insects two days before with my native Kunming friend and new French friend. Actually, I'm afraid of them. - Are you afraid of your friends, afraid of the insects, or afraid of both?