The evolution of insects, like the evolution of the animal kingdom in general is a very controversial topic. Many theories attempted to explain how insects came down to their current appearance. These theories differ completely from one to the other. This article by Dave Hone gives good insights on the three main ones.
Some flying insects did not always fly. According to scientists, before insects could fly, they went to many intermediate states between moving on the ground and being able to hold themselves in the air. In this article published in the Apologetics Press, Matthew Vanhorn talks about evolution of flight in insects.