"Are you sinful if you kill insects?"
The broad and general answer to this question as per Sunnah is no, you are not sinful.
Clarifications:
1- A pilgrim is forbidden from many things, one of which is not to kill any creatures that are not attacking him or her. This is specific for the pilgrim, not general. The five animals mentioned to be killed, are exceptions to this rule, and they can be killed whether or not they are bothering the pilgrim. The prophet's saying was clear:
لقوله صلى الله عليه وسلم: "خمسٌ من الدواب كلهن فاسق يقتلن في الحرم الغراب والحدأة والعقرب والفأرة والكلب العقور" (متفق عليه).
Prophet -pbuh- said: "Five creatures are all Faseq, they are to be killed even in pilgrimage: The crow, The Had'aa (Kite, a carnevorous bird), The scorpion, The mouse/rat, and the rabid dog"
2- Animals and insects whether harmful or not, are forbidden from being killed using painful or torturous methods. Specifically it is not allowed to burn them. It is however allowed to use the electric shock device that attracts and kills flies and mosquitoes. This is a detailed fatwa
http://www.islamqa.com/en/ref/105190/kill insects
3- The Shariah basis in this matter as per Sunnah scholars is as follows:
a) Whatever is harmful by nature, is permissible to kill. This is in addition to the five that you kill even at pilgrimage. These are harmful by nature and you have the choice of killing or not if you feel threatened or bothered by them, like mosquitoes, hornets, cockroaches, spiders, snakes, weasels, wolf, fire ants, fleas etc. It's also permissible to kill animals otherwise forbidden to kill if they are causing harm, such as insects attacking and eating crops or food in the house (house ants), or a fox or wildcat eating and killing small chicks at a farm.
b) Whatever is edible, is permissible to slay. This however requires that you slay it for consumption. Sheep, cattle, chickens, etc.
c) What is not harmful is not permissible to kill. These include the four that were forbidden by nass by the hadith narrated by Ibn Abbas that "the prophet -pbuh- forbidden killing four creatures: "The Ant (harmless ants as mentioned before, not fire or soldier ants, and not ones attacking your food at home), The Bee, The Hoopoe (Hud-hud, King Solomon's bird), and Al-Sard (Red Back Shrike bird)". The prophet said "Anyone kills an animal from an Osfour (sparrow/finch) and upwards, will be questioned by God on judgement day on why he killed it". So this includes domestic cats, non-rabid dogs (except black ones), foxes, eagles, elephants, etc.
May God provide you with guidance and increase your mercy on God's creatures, and as always God knows best.