Musannaf Ibn Abi Shayba 16:345

Abu Bakr narrated to us, he said: Yahya bin Sa'id narrated to us, from Sa'd bin Ishaq, from Zaynab, the wife of Abu Sa'id, she said: Abu Sa'id used to see us while we were eating locusts, and he would not forbid us, nor would he eat them. We did not know if it was out of disgust that he disliked them.