This really is an interesting myth, which is an offshoot of the myth that it is illegal to kill a a mantis. We had a lad on here from Malaysia, last year,asking the same question about killing them, and I have heard the same thing from Mexican friends.
However, it is true that if a girl stands at a crossroads and puts a mantis on her hand, it will turn to face the direction from which her true love will come. Sunny and I watched the old movie Crossroads last weekend, and she is planning to find a crossroads where she can sell her soul to the devil, so we'll probably take a mantis along at the same time. Does anyone know if one species is better than another for this?