I'm an alchemist by inclination and I can't catch the blasted things. They move too fast. I tried an Ice shout at them trying to freeze them from the sky and it just left icy patches on the river bank. How can you catch those things?

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I play on PC, so maybe that is it? I imagine playing on a console would svck to do it. I don't really have any issues catching any of em, butterfly, lightning bugs, dragonflys, whatever....with one hand I guide the cursor over the critter as I run toward it, with the other I spam the 'E' to grab it. Works like a charm!