The AntsCanada Ant Forum's

If I can’t get feeder insects from the store should I feed insects from outside?(My family doesn’t use pesticide)

Seriously I can’t convince my mother to buy me some, sustaining my ant colonies on smooshed mosquitoes currently

And also how should I find the insects outside?

If you can't buy, wild feeders are your only option. People will say not to because of the risk of introducing parasites or disease. It's your only option though, so go for it.

You can setup a bright light, or even better a black light. If you have a bright light on your house, look around it.