Dogs, for a time at least, might see grasshoppers as fun treats to snatch as they hop around, so keeping your dog from ingesting a few of these insects may be impossible. Generally, though, you should inhibit your dog's consumption of them.
Pesticides, antifungals and some toxic fertilizers can get on and in grasshoppers. Organophosphates, carbamates and organochlorines are a few of the many nonselective insecticides sold over the counter for consumer household use; if a grasshopper is covered in any of these toxins, your dog could indeed be in danger. Early symptoms of canine toxicity include excessive salvation, tearing and panting. These symptoms progress to vomiting and diarrhea, seizures, coma an death.
Grasshoppers can carry parasites or roundworms. If your dog ingests a parasite-infected grasshopper, he could become infested. Eggs or adult worms could infect the dog; roundworm is a parasite the dog could catch from a grasshopper. Untreated, an infestation can cause intestinal blockage and death.