Locusts by Adam-Troy Castro. According to IFSDB the only anthologies containing it are the Serbian (I think) anthology Polarisova SF antologija '97 and Castro's anthology A Desperate, Decaying Darkness so you must have read it in one of those. I found it using the IFSDB advanced search to look for short stories with locust in the title.
The eponymous locusts are described as:
As was the little monster itself, who turned in mid-air to face me. It was a rare thing to get this close a look at a living one; mostly, the only ones we got to see were smashed and broken corpses. We’d never actually seen an ugly one, not even once in all the months since the skies first turned dark with them, but this one was a knockout, blessed with more than her share of the ageless, innocent, and utterly androgynous beauty they all possessed. Some of them had always been marginally identifiable as males, others as females; this one was lithe and athletic and cute and looked exactly like any other pre-adolescent mall brat, except that she was six inches tall, covered head to toe with a light pink down, and flitting through the air on colorful butterfly wings. As she giggled with high-pitched helium delight, I could have easily found myself too charmed into immobility to react. But her eyes - the Locust smiled winsomely and went for me at full speed, a raindow blur cracking the air behind her like a whip.
When people eat the locusts they are transformed:
Today, as I knelt alongside the others picking through the grisly buffet, one hand keeping a tight grip on Jane’s leash, I found myself thinking of Eddie for the first time in days. Eddie had beenSharon ‘s husband, a security consultant by trade, and midlist crime novelist by inclination, who had first taken charge of our survival. It had been his idea for us to pool our resources defending one house instead of ten. He’d been responsible for dubbing them Locusts. He’d been the first one to take a bite out of one and pronounce them edible, and unfortunately, the first to find out the hidden risks …
… we’d all had Reactions. Some of us had experienced three or four or five, one on top of the other, each one transforming us a little, each one taking us a little bit further away from humanity. Some of the changes were funny, in a way: Bob had unnaturally big brown Keane-painting eyes, Peter was now covered by a layer of bright yellow fuzz, Sharon had cat’s whiskers and three extra fingers on each hand, I had a ridge of jagged spines along both shoulders, andNancy had a forked tongue and featureless slit where she’d once sported lips. We were all lucky, if you considered what had happened to Eddie, or what had happened to our children … or what had happened to Jane.