If you are going to do a life support experiment you might want to use only one or two different species of insects with a few of each in different containers so that you would know what is the least they need to survive instead of doing as much as you can for them to survive without knowing why they lived, since the conditions for them would be the same as those on the ground. About what you could use to store them, a very Low Tech container, like a few very small PET bottles bundled together, which might survive the low pressure and fall but would probably let radiation in, but Aluminium foil might protect them from the UV, you would just need to make it air tight, and make sure they have enough air for the trip.