I've never seen one - only heard them. We were out checking my lime trees for fruit and Nahima found one and Lorena looked at the main trunk and there were two more. I'm going to check for more in a few minutes. I don't think they harm a tree ..... I just never knew they shed their exoskeleton. According to Wikipedia the young ones shed after being in the ground for many months - graduating to adulthood.
Here's their song up by Guadalajara