In fine warm weather, the daytime convective atmosphere over land areas is full of small migrant insects, among them serious pests (e.g. some species of aphid), but also many beneficial species (e.g. natural enemies of pests). For many years intensive aerial trapping studies were the only way of determining the density profiles of these small insects, and for taxon-specific studies trapping is still necessary. However, if we wish to determine generic behavioural responses to air movements shown by small day-migrating insects as a whole, the combination of millimetre-wavelength 'cloud radars' and Doppler lidar now provides virtually ideal instrumentation. Here we examine the net vertical velocities of > 1 million insect targets, relative to the vertical motion of the air in which they are flying, as a succession of fair-weather convective cells pass over the recording site in Oklahoma, USA. The resulting velocity measurements are interpreted in terms of the flight behaviours of small insects. These behaviours are accounted for by a newly-developed Lagrangian stochastic model of weakly-flying insect movements in the convective boundary layer; a model which is consistent with classic characterisations of small insect aerial density profiles. We thereby link patterns to processes.