I use a jar to cover the beetle, and then slip a sheet of paper
under it to pick it up. Once it's inside do what you will with it.
It's also easy to pick it up and take to the window, just endure
the feeling of the claws on the legs digging into your finger for a
little while.
There was once this beetle which killed itself in my Tamiya cement.
It lasted less than 10 seconds in it. 
