How to say "a beneficial insect"?
I would say 益虫．　This is related to the compound 益害 (literally - beneficial and harmful), which means effect (positive or negative). For example, you can say 喝咖啡的益害　（the effects of drinking coffee). 

Chinese has many similar antonymic compounds like this. Some examples include 高矮　(height of a person, or literally - tall and short), 长短 (length, or literally - long and short), 大小 (size, or literally - large and small), or 深浅 (depth, or literally - deep and shallow).