Yes but with conditions. It becomes Halal if you catch it or if it has been caught by a Muslim. It is not allowed to eat it if it died before catching it. Small locusts which can not fly are not allowed.
This is mentioned in many books of Shia and Sunni scholars.
It is mentioned in Saheeh Bukhari , Hadeeth number 5176 narrated from Ibn Abi Awfa. Same Hadeeth is also mentioned in Saheeh Muslim, Hadeeth number 1952.