Oh yes, insects...
I recall a big fly that managed to get into my room, then unwisely decided to fly in front of me. Now, I keep one of those electric flyswatters around for just such an occasion, and this fly found that out the hard way.
Anyway, after the initial shock of electrified-wires-meets-fly-face where the fly crashes to the floor, I decide to scoop it up on the thing and give it another go.
That wasn't particularly difficult, I'll admit, and it does look kinda funny when their legs twitch and such when current is applied.
Normally, by the time the electricity starts to arc they die, but this one didn't. So I gave it another jolt, at which point it did another take of air-running, then promptly jumped off the thing.
So, I do what any kind, caring netizen would do and placed it back on the wires, and applied more current, because that fly was going down, damn it! However, surprisingly enough, even though it got caught between two wires and started smoking, it simply wouldn't die!
So after deciding that the smell of burnt fly would be a bother I thought to myself that I should probably toss the burned thing out the window, but it simply sat there, on the flyswatter, and polished itself off.
At that point I realized that said fly was actually quite hard to kill, and I figured that, if it was so damned determined to not die, it'd be less of an effort to just toss it out the window.
That fly earned its' freedom.
As for your fly, I think you should do what you want to it, as opposed to asking us all for opinions... however since you did ask, my opinion is to toss it out, because that'd make less of a mess (or if you have a fireplace, wrap it in a piece of paper and light it on fire, that usually does the trick).