Lavafly

A regular bug net will not do it. Swing one at a Lavafly and you take a hit and start burning for the trouble. You need a Lavaproof Bug Net, or the Golden version if you have one, and both of those arrive well after your first trip down.

Night in the Underworld is the usual spawn window, but you can force the issue by shaking ash trees down there at any hour, and breaking wild ash grass will occasionally pop one out too. That second method works outside the Underworld as well, which is the only way you will ever see one nowhere near lava.

As decoration it goes in a bottle, and once bottled the critter is gone unless you Shimmer the furniture back apart. The better use is bait. It is weak bait on paper, but carrying one is what lets you fish in lava at all, and that gates an entire set of catches.