The insect description is hard to go from, but from your mention of the
outside wings and grasshopper like legs I'd guess it's a katydid.  Check in
an insect guide such as Borror and White to see if I am right from this
sparse info.  If it's a katydid then they pose no direct hazard to the
ferrets from what we've seen through the years, unless someone has poisoned
them in which case the poisons could present a problem because ferrets view
these guys as land-lobster and will very excitedly eat as many as they can
catch, thus concentrating whatever poisons are in the insects.
[Posted in FML issue 2179]