When you get to the craft part of the game you will need a lot of bugs and those are rare to find during fights and dungeons, however a good location to farm for it is the HAMAKITA PARK, located at the top right part of the city map.

For better efficiency go there farm as many as possible when you find yourself not find any more bugs, take a taxi to another location, that will reset the bug spawn rate and go back to Hamakita Park.

Could also be a good option for making money since bugs sell for a good amount.

If you are in the end gaming and looking for gold bugs the best spot to farm it becomes underground fight club in Sotenbori Thanks, Mr Blonde for the tip.