You want them to be pesticide free. So gathering in a remote area is ideal.
Also, there are poisonous ones about, so if you are unsure about it, post a photo for others to look at first.
If they are green/brown, they are most likely good eats, if they have bright colors/markings its best to leave them alone.
Wild insects make great feeders though, and everyone should try to find what they can locally. The gutload they are carrying has a ton of variety, and chameleons like them much better than crickets and such in my experience.