Lol, It might take quite some effort to deplete a wild grasshopper population
Breeding your own could be satisfying though, not sure weather breeding, or catching would be more effort, but I'd expect wild ones to be more nutritious, though I suppose you could really go to town with gutloading a wide variety of stuff to make up for that if you bred them.
So long as you arn't destructive to the forest enviroment when catching, I dont see the harm.