Can I give you some advice?
It might save screaming, getting stung, and insect lives.

Remain calm.
Get a glass in one hand, and a piece of thin card in the other.
Wait until the insect lands on a flat surface, like a window or table.
Move the glass very very slowly until it is positioned over the insect - insects can't see things that move very slowly, so you should be able to trap it in the glass, as long as it doesn't fly off of its own accord, and you make no sudden moves with the glass.
Slide the card under the glass.
Take the insect outside and release it where it will not immediately fly, or get blown back, into your building.

I have never been stung while performing this operation.
Works for spiders too.