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I use four methods, depending on the fly and conditions. I do usually collect flies alive in small tubes and containers topped with pieces of porous foam. Once back home, I kill what I want to keep by one of the following methods.
Freezing is the easiest method, but not always available. As a backup I carry a small bottle of ethyl acetate. A few drops of ea. in a well-sealed ziploc bag will kill the 'tubed' flies in half an hour or so. For the very largest flies I carry a cyanide killing jar. Dangerous stuff... The few Nematocera I take go directly into ethanol.