You just have to be quick! You may have to run after them a little to get close enough because they tend to zigzag around a lot. I caught one successfully using my net.
They skitter quite fast when you approach them, so I would recommend holding down A so you walk slower and hold your net ready to make it easier to catch them with it once they've paused. You'll swipe your net when you release A then.
You'll find them along the shoreline, and they're quite hard to miss noticing because they dart around a lot. You can also often find them on Tortimer's Island.
This is what they look like running around:
And when you catch them:
Note that if you miss them with your net when you try to catch them, they'll dive into the ground and disappear. You'll then have to wait for another to show up.