Sahih Muslim
The Book of Games and the Animals which May be Slaughtered and the Aninals that Are to be Eaten (Kitab-us-Said wal-Dhabaih wa ma Yukalu min Al-Hayawan)
Book Number: 021 / Hadith Number: 4801
Ibn Abu Aufa reported: We went on seven expeditions with Allah's Messenger (may peace be upon him) and ate locusts.