I've only had insects in my grain once time, thank God. I bought some wheat malt from a new LHBS, and noticed a couple weeks later that it was moving. Yuck. Luckily the little buggers stayed inside that single bag and didn't infest the rest of my grain supply. That shop ended up replacing their entire grain supply though. Ouch! I wonder if the owner just threw down a mega bug batch of beer to use it up?
you can also add about a cup of FOOD GRADE diatomaceous earth to the bucket/bag/bin of grain and shake it around really well to control macro bugs. livestock farmers often do this with animal feed to prevent infestation and it's somewhere between neutral and good for the animals to eat it. no idea if it would cause issues in the mash though. probably just add calcium