My take on this is going to be somewhat different;
1) Good on you for admiting to your "crime for art" I know that some people will try to hide/mask the fact/truth about their photos. Not doing so is a big step where something like this is concerned
2) If you are going to approach this kind of photography my advice is to research around it considerably before making a mess of things. Look up how to kill, mount, preserve and store the insects. At least this way you build up an archive of usable samples which can be reused as needed and even donated on (say to a meuseum or something along those lines).
This approach at least ensures that you are not simply killing and disposing which is wastefull.
Flickr: johnhallmen
John Hallmen does a lot of this work (esp in highmagnification work) and there are some communities about that deal with (mostly high magnification) work and insect samples. Sadly whilst I know they are out there I've never really looked into them so if this area interests you I would approach John as I am sure he will have a few sites that you could browse through.
3) Consider the other side of the local wildlife coin - if you are killing and taking samples you want to have "perfect" examples to show (most times) so killing and dumping imperfect ones is not an ideal move. Furthermore whilst your effect might be minimal I feel that its important to maintain as little impact as you can even at the insect scale. With that in mind consider the avenue of breeding insects.
Again this is not a line I have considered, but it at least ensures that your endevours will not be drastically affecting local populations (remember if you breed you should not simply be dumping those insects back into your garden - again you affect population counts and even might introduce new "alien" species to your local environment.)
In the end its not an approach I advocate or use myself and I would personaly say if you want a cooler, less mobile insect your best bet is to use natural shady spots and early mornings. Early mornings many insects are sleepy and docile after the cooler night time so its ideal to find them in a more relaxed mood. Furthermore capture and storage in shaded spots gives you the lathargy that cooler temperatures give without the shock and extreme cold that a fridge gives.