Not many people know this but the red colour you find in lipstick comes from a dye called carmine. It’s derived from the cochineal, an insect that gives a red colour when crushed into powder. So yes, when you apply lipstick, you could very well be applying some dead insect parts! But be rest assured that it is perfectly safe. I don’t know anyone who’s had a bad reaction to carmine yet.
Some common names of carmine in product ingredient lists are Crimson Lake, E120 and Natural Red.