Possibly The Collector by J. B. Stamper. I read it in her collection More Tales for the Midnight Hour, which according to the ISFDB is the only place it has been published.

It isn't a perfect match because although the boy Toby is an insect collector as you describe he isn't sadistic about it. Toby finds a large moth that he kills using a killing jar. As he does so he is attacked by a swarm of moths though he escapes:

Suddenly he felt a strange weight on his neck. He whirled around in disgust and brushed away the huge moth that had landed on his body. Looking around, Toby saw that the air was thick with them. He sprang up from the killing jar and ran tothe screen door, flailing his arms to ward off the moths that were suddenly closing in around him like a suffocating blanket.

Safely inside the house, Toby locked the screen door behind him. He looked back onto the porch and saw silhouettes of moths pressing their bodies against the screen. He could hear their wings beating. Toby shut the wooden door and double-locked it. He would have to leave the lantern and killing jar on the porch all night. Shuddering, he went up to his room.

Later the moths break into his room and chase him out into the swamp:

He ran for the porch door and out into the night. For a minute he felt a rush of fresh air fill his lungs. Then the moths surrounded him again -- more of them, huge ones and tiny ones. They pursued him across the yard and into the swamp. They drove him through pools of water filled with snakes and thick weeds, and across fallen, rotting trees. They chased him into the deepest, darkest part of the swamp.

No one ever saw Toby again. It was as though he had disappeared from the earth without a trace. The only clue he left was the torn screen, mysteriously ripped to shreds. They sent out search parties into the swamp. But no search party ever went where Toby had gone. No one could have ever found that deep, dark place in the swamp where the moths had put Toby, pinned against a tree, in their human collection

Possibly The Collector by J. B. Stamper. I read it in her collection More Tales for the Midnight Hour, which according to the ISFDB is the only place it has been published.

It isn't a perfect match because although the boy Toby is an insect collector as you describe he isn't sadistic about it. Toby finds a large moth that he kills using a killing jar. As he does so he is attacked by a swarm of moths though he escapes:

Suddenly he felt a strange weight on his neck. He whirled around in disgust and brushed away the huge moth that had landed on his body. Looking around, Toby saw that the air was thick with them. He sprang up from the killing jar and ran tothe screen door, flailing his arms to ward off the moths that were suddenly closing in around him like a suffocating blanket.

Safely inside the house, Toby locked the screen door behind him. He looked back onto the porch and saw silhouettes of moths pressing their bodies against the screen. He could hear their wings beating. Toby shut the wooden door and double-locked it. He would have to leave the lantern and killing jar on the porch all night. Shuddering, he went up to his room.

Later the moths break into his room and chase him out into the swamp:

He ran for the porch door and out into the night. For a minute he felt a rush of fresh air fill his lungs. Then the moths surrounded him again -- more of them, huge ones and tiny ones. They pursued him across the yard and into the swamp. They drove him through pools of water filled with snakes and thick weeds, and across fallen, rotting trees. They chased him into the deepest, darkest part of the swamp.

No one ever saw Toby again. It was as though he had disappeared from the earth without a trace. The only clue he left was the torn screen, mysteriously ripped to shreds. They sent out search parties into the swamp. But no search party ever went where Toby had gone. No one could have ever found that deep, dark place in the swamp where the moths had put Toby, pinned against a tree, in their human collection