Line cookies sheets with waxed paper. In small pan, melt chocolate coating over low heat, stirring constantly, until smooth.
For each cookie bug, hold one cookie with tongs; dip entire top and sides in coating, letting excess drip off. Place cookie, coated side up, on cookie sheets.
Cut pretzels into curved pieces for the legs. Dip one end of each leg piece in coating; place 3 legs on each side of cookie body.
Cut 2 short pieces for antennae. Dip one end of each antennae piece in coating and place on top of cookie. Place 2 chocolate baking bits behind antennae for eyes. Let stand until coating is set before storing, about 10 minutes.