I know you are probably thinking that one of the good things about winter is that there are no insects! But despite the fact that you will be bothered less by them in the winter insects do have interesting way of surviving over the winter: as fertilized eggs, as larvae, a few as pupae, and a few hibernate.
If you haven't before now, you might want your students to learn the life cycle of a common insect such as the monarch butterfly or a dragonfly.
Look for signs of insects: on bare tree branches, under rocks, on the backside of leaves, on or under a fallen log, in a woodpile, in the soil. look out for galls and take photographs for your nature journal.