Do you time travel? Bagworms are only available October-February, so if you're playing in real time you can't get them yet. For centipedes, just wander around your village hitting rocks with your shovel, you'll get one eventually.
Yeah, I TT. ^^ But I've been at this for days and days and days, and nothing ever turns up but those darn bees!
IGN says you can just swing your net at a tree to catch one too, is this true? I've been shaking trees all day now with my gate open and nuffin'.