As others have indicated, I also haven't seen direct evidence of echolocation in insects. However, there is much evidence that the auditory system of e.g. moths can hear ultrasound generated by bats (Waters, 2003). According to Waters (2003) moths mainly use this to avoid predation. The review also contain many useful references and examples of moth ultrasound detection, and specifics on the physiological adaptations. Since moths apparantly can detect ultrasounds (and generate them), this also opens the possibility that some species could use it for echolocation. But from what I have seen, no direct evidence.
In general, many insects use high-frequency sounds, but we often do not know exactly for what purpose. If you are interested, this webpage on sounds in butterflies (in Swedish) have a couple of examples that you can listen to (recorded by a professor emeritus as my old department). Look at the subpages for each species for embedded .wav where the ultasounds are played in slowmotion. Again, the exact use of these sounds are mostly unknown, but they are believed to be used to attrach mates or scare predators, but might potentially (if we are speculating) be used for echolocation in some species.