I mostly do it by thinking about what I would accept as evidence of pain in more complex animals and see if it is present in insects. Complex pain behavior and evolutionary and functional homology relating to pain are things to look for.

There is a quite a bit of research on complex pain behavior in crabs by Robert Elwood. I'd link his site but it doesn't seem to be up right now. You should be able to find the articles, though. Crabs have 100,000 neurons which is around what many insects have.

Here is a pdf of a paper that find that a bunch of common human mind altering drugs affecting crawfish and fruit flies.