I have a feeling that you can track down mythical creatures of all sorts and kinds during the winter when they are hybernating. Or in the early spring
when they start to reproduce. I'm here at Houston Community College and they are everywhere.
To answer your question, insects have evolved many traits that get them through the cold months. Some migrate. The monarch butterfly comes to mind
when I think of migrating insects. A lot of types of larvae replace water in their systems with glycerol. This allows them not to freeze, and they
can remain in the soil.
Others have stages in their lives where they are nymphs, and live in the water. Insects like wasps will find a place to hibernate. And even some
insects like honey bees remain somewhat active.