To attach an insect to a spring, you need an adhesive that will bond to both surfaces. Epoxy would be overkill since it will exceed the strength by orders of magnitude, and would take too long to cure as well. Cyanoacrylate would be fast enough, but I have heard that it will partially dissolve the insect's body. The best option is likely to be a double sided tape, like what is used for astro turf on patios.
As for the circuit- what to you want it to do? Perhaps a microgenerator to harness the power of the insect? A microphone to record the insect's sounds?