In order to see the actual evolution of insects from their wingless, sea dwelling ancestors, Look up in the "Treatise of PAleontology" on the evolution of sevral groups of arthropods
Chelicerates,- (which contains the big eurypterids, the chelicerates (horseshoe crabs) and arachnids)
Myriapods,- centipedes and millipedes
Insecta,-the bugs as we know them
The fossil assemblages are quite complete from the Devonian to present and you can satisfy yourself , by looking at the hundreds of photos of these specimens in "The Treatise", that there was a significant series of evolutionary spurts in these animals through time.
They all derive from the earliest arthropods of the Early Cambrian.