No, don’t catch a cold. That’s the wrong kind of bug to catch no matter how easy cold bugs are to find this time of year.
Depending on where you live you may find a variety of bugs that are really fun for kids to catch. It might be fireflies, ladybugs, pill bugs… whatever’s available.
Of course you may have to wait for appropriate weather if things aren’t looking good for bug hunting in your area. But I’d still suggest dodging those cold bugs.