Really depends on the type of insect. Last weekend I had a bee on the ball and I figured easier to whack the bee than have it buzzing around me after waving it away. Kind of transfixed me and it was one of the better chip shots of the day. I don't think I hit it but I didn't stay in the area to find out.
Kind of my same thought regarding the ant, except I was like, "How am I suppose to get it off of there?" I can't wave it away like a flying insect, so I was like, whatever. If I hit a bad shot, I'll just use the ant as an excuse!
Speaking of insects ... maybe you boys back east should start a new thread on how the cicadas mess with your golf game. I know very little about these fellas, other than what they put in the news. And they've been in the news a lot lately! Do they just stay up in the trees all the time, or do they fly around and land on your balls, or on you? Whatever they do, they're nasty ... I saw some of those pictures!