From Montclair State University is you really want to try them whole - fried in batter is probably the way to do it:
Tempura Cicadas:
Ingredients
15 teneral cicada
1 egg
1.5 cup flour or your favorite gluten-free flour substitute (We use Cassava)
2 tsp salt
Cold Seltzer
Oil for frying (I like using coconut oil because it pairs really well with cicada and cassava flavors)
Instructions
Preheat oil for frying in a dutch oven or deep pan.
Combine the flour, salt and egg.
Slowly pour in the seltzer and mix (but not too much) until it’s the consistency of lumpy pancake batter. Keep it in the fridge on ice or on the top shelf until you use it.
Once the oil is hot enough (I always put a drop of batter in to test it), dip the cicada into the batter and fry until golden brown.