In the episode "Humbug" there is a scene in which Scully & Mulder are questioning Blockhead & Conundrum. In the scene Blockhead pours some crickets into Conundrum's mouth and he eats them. After that Scully takes one of the Crickets and pretends to eat it.
Here is the transcript:
BLOCKHEAD: When an audience partakes in the Conundrum's human piranha act, they are left to ask themselves...
(He takes out a jar of crickets. He pours out some crickets onto the Conundrum's head, who eats them joyously.)
BLOCKHEAD: Why. But... where are my manners?
(He holds out the jar to the agents.)
SCULLY: Thank you.
(She takes a cricket, puts it in her mouth, smiles and walks away. Mulder looks at her, then at the crickets, and leaves. He catches up to Scully, and watches her in disbelief. She smiles, reaches behind Mulder's ear, and "pulls out" the live cricket.)
SCULLY: It's an old sleight of hand my uncle once taught me. He was only an amateur magician, but he was still better than those two.
I read in this article that Gillian Anderson really ate that bug.
Is there any evidence of this?