Insect migration is one of the most complex and fascinating biological phenomena in nature. Migratory insects rely on multiple environmental cues to navigate across long distances with remarkable precision. Among these cues, the Earth's geomagnetic field, being globally available, diurnally continuous, and temporally stable, has been shown to play a critical role in orientation and navigation in various animals, including insects. Although recent years have seen rapid progress in understanding magnetic orientation behavior in insects, a comprehensive methodological framework remains lacking. This work synthesizes the principal methodologies for studying magnetoreception in migratory insects, with a focus on behavioral approaches to inclination and polarity compasses based on different magnetoreception mechanisms. It covers the general experimental setups for geomagnetic orientation, behavioral assays, biophysical investigations, and potential confounding factors in geomagnetic research together with possible methodological solutions. We further introduce key techniques used to investigate radical-pair and magnetite-based mechanisms, and discuss methodological controls against experimental artifacts such as electromagnetic noise, light pollution, and physiological variability. Building on these advances, we synthesize current approaches into a systematic and operational framework for studying magnetic orientation in migratory insects, which will expand both the breadth and depth of research in this field. Mechanistically, this framework will advance the fine-scale understanding of animal magnetoreception; practically, it will support migratory pest monitoring and precision control in agriculture.