Native Americans used the simplest of techniques to bring down a deer: they chased it until it was tired.
You can use a similar strategy to catch a grasshopper.
If the insect is really scared of you, it will jump and flap its wings.
This is good; it will be easier to see where it lands, and will tire it out quicker.
After 5 or 6 jumps, it should be too tired to run and will be more likely to allow you to pick it up.