Only the female cochineal bugs are used to make the red dye.
To process cochineal red, the female bugs that live on Prickly Pear plans are collected, dried and crushed. The resulting red liquid is processed to an intensely red power dye. The tiny cochineal bug is still used in some red paints, notably carmine red.
Cochineal/Carmine red is still used for some paints and clothing dyes. Today, synthetic dyes have changed the industry.
And that is the story of how a tiny bug made a big "splash" in the world!