Get some "silica gel" from the florist or wherever they have it locally. After you've pinnedthe insect to a piece of card, put the card in an airtight container with the silica gel for as long as it takes...a couple of days, probably, at the most.
Silica gel comes in a powdered/crystallized/flaked form, they used to sell it at walmart in the crafts section years ago, in a cylindrical container. It's the same thing that comes in a tiny little bag that says "dessicant - do not ingest" in a number of products...the first that comes to mind is shoes.