I don't Know about the legallity of transplanting helgramights from one eco system to another but I doubt that it is legal. Insects are not specifally talked about in the fishing digest or in the Adminastrative Code 805 dealing with the introduction of injurious species. http://dnr.state.il.us/legal/adopted/805.pdf
It talks about "Aquatic" nuisance species. It defines "aquatic" as all fish, reptiles, amphibians, crayfish, and mussels. No mention of insects, their larva or eggs.
I think there are way to many risks to even consider transplanting any species on our own. Diseases, lost of genetic tolerant strains of natural stocks due to cross breeding, complete loss of naturally occuring species, and complete changes in habit as an introduced species takes over an ecosystem, are just a few of the reasons not to do it. Look at the problems caused by the rusty crayfish and asion carp. A far stretch? I don't know. Could the introduction of an insect not in the current system, unbalance the naturally occuring insects on the Dupe and possibly have an effect on the whole river ecosystem? Again I don't know but I wouldn't want to take the chance. Many people don't seem to see the risk when they "think" they are helping mother nature. I don't know if there naturally occuring dobson flies / helgramites in the Dupage drainage but, I think, with them being a winged insect, when the river systems are ready for them, they will occur naturally. I have used them as bait many places where they do not occur naturally and while they caught fish they were no better then worms and probably less effective then minnows, leaches, or crayfish. If there isn't enough of them for the fish to be foraging on them or you to can't readily find them, they pretty much loose their affectiveness as a live