I've never heard about toxins, but the best lobster (or fish) is fresh fish, and once it dies you'll need to keep it cold. So keeping your bugs alive keeps them fresh = they will taste better.
You can throw your bugs in a bucket or cooler, then throw some kelp on top (or a wet towel) and they will stay alive for a long time.
I prefer to tail them when they are still alive, but almost dead. They start to move very slowly. When they are alive and kicking they really don't like it when you try and tail them!!
Once you tail them you'll want to immediately fridge or freeze them, depending on how long it will be before you eat them. I wrap them in tinfoil and then put them in a baggy if keeping fresh or vacuum seal them if saving in the freezer. Wrapping them in tinfoil keeps their spines from punching holes in your bags.
I ate 2 bugs about a month ago that were from last year and they tasted great!