What is your end goal? Just to have? Are you planning on looking at them often? This will help give you your answer.
Anyone will tell you that pinning, while the standard for a ton of reasons, is going to result in dried out and fragile specimens long term. Legs, antennae, and anything possible will fall or be knocked off sooner or later. The more you access them, the quicker they'll become damaged. It doesn't matter much for museums who leave them in a drawer for decades at a time, but personal collections, it's potentially different. Also, glue (top coat, for finger nails, is what I use) can sometimes obscure small details on tiny arthropods. Mounting anything smaller than 2 mm just... sucks. I'm horrible at it. But as said, it's the standard, and if you position well while drying, it can give you unparalleled ease for viewing from any angle but below.
If you have the space, and are fine looking through glass, storing in alcohol may be your best shot. It will take up a take up more space, and both weight and cost significantly more, but your specimens should stay in better shape long term. You also don't have to worry about mold, water damage, dermestids, or anything else damaging your collection. If required, you can always take the insect out of the jar if you need to look at it under a scope.
You can store them in ethyl or isopropyl alcohol. I've heard arguments both ways on which is better, and honestly I don't know which is better. I used 70% ethanol, because that was what was on hand. Either one will do you fine. Don't waste your time considering formaldehyde. That was a bit long-winded, but hopefully gives you a starting point. Lots of colleges have pamphlets you can easily find on google which are good resources.
