Line cookie sheets with waxed paper. Melt candy coating in small saucepan over low heat, stirring constantly until smooth.
For each cookie bug, hold 1 cookie with tongs; dip entire top and sides of cookie in melted coating, letting excess drip off. Place cookie, coated side up, on waxed paper-lined cookie sheets.
Cut pretzels into curved pieces for legs. Dip 1 end of each leg piece in coating; place 3 legs on each side of each cookie.
Cut 2 short pretzel pieces for antennae. Dip 1 end of each antennae piece in coating; place on top of cookie. Place chocolate pieces near antennae for eyes. If desired, decorate bugs with additional candies. Let stand about 10 minutes or until coating is set before storing.