This has been covered so many times that it kind of gets repetative. The same reasons are giver for why not to do this as in every other thread over this subject.

One main parasite that locusts and grasshopper will carry are Tapeworms. You have no way of knowing they have them unless you cut them open. Just a warning. The likelyhood of getting one with a Tapeworm isn't very high, but is still a serious risk.

Everyone has pretty much covered this.