Depends on sizes etc.
Spiders I use a huge ass amount of tissues or paper towels, I hate spiders
Nats, mosquitoes etc, small flying insects, if they don't bother me or they go away, fine, but if they bother me, then I clap them with my hands or tissues if theyre in the house
Have not seen a milipede, have seen really small centipedes (FUGLY AND SCARY THINGS), most likely a whole roll of paper towels
Harmless bugs, I spare their lives like Beetles, lightening bugs (LOVE CATCHING THOSE). Saved a black beetle from my pool, let it crawl around my hands, watched it dry and clean itself, it was pretty cute. then it was dry enough to fly away.
Bees, wasps.. I just run my damn ass off. Was a bee next in my ceiling, since my room was in the corner (this is before doing the Stucco job on my house) and part of the wood wasn't sealed to the attic. They made a hive about teh size of a shoe box out of the sheetrock ceiling and fiberglass insulation, we had to call the exterminater. This was over a month and a half period in the summer. They made this weird sound to, that's what brought it to my attention. It sounded like someone was scratching away at the ceiling.
Cicadas are fun to watch, don't do much about those, never found them in teh house either.
that sums it up for me.
Small ants, spiders, no bigger than a nail head, I jsut use my index finger because by the time i find a tissue or something, they're so small that I lose where they are