I had posted a tutorial here, but then reading her copyright boilerplate sort of scared me away, so I direct you to the above link if you'd like information on how to make these.
It took me about 4 hours to assemble 20 of these, to give you an idea of how labor-intensive they are. They were a big hit in the preschool class this morning, and that made the effort worthwhile! Thanks to the inventor of these adorable bugs - and again, I take NO credit. Please don't sue me.