The first and most important point is of course making sure of the legal status of the animals. Ask the pertinent authorities.
Provided that it is legal and that the population you have access to is healthy with plenty of adults, it´s certainly better to catch your own than to buy them from shops, distributors, etc. However, if you are going to catch animals from the wild, again, provided that it is legal and that the population seems healthy, i would suggest collecting eggs or young larvae/juveniles rather than adults. The adults are survivors, they are the fittest of the population, they are, in other words, very valuable. Removing a small amount of adults from certain populations can potentially have serious impacts (very specially if the population is isolated) whereas removing eggs or youngsters is not going to have such an impact.
I personally don´t agree with taking animals from the wild for our personal amussement, but if it must be done, at least it should envolve inmature individuals rather than the reproducing adults.
Also, before you even consider taking any animals from the wild (provided that you can) make absolutely sure to be very well prepared. Learn as much as you can and set everything up with time. Prepare cultures, etc if necessary. The wild is not a giant free shop where you can get animals anytime you want. Those animals are valuable, if not for you, certainly for the wild ecosystems.
I would like to end by saying that i think it´s always better to acquire captive bred animals of an species that is sutiable to the habilities and experience of the hobbyist. If you are thinking of wild animals because you are impatient, i would strongly suggest making an effort in being patient, nothing good comes from being in a rush. Specially for the poor animals which are always the ones paying the ultimate price.