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]