They have tough shells, not skins so normal taxidermy techniques don't apply. Your best hope would be to dry one I think. L
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Agreed. It is also quite common to see them cast into blocks of clear plastic, such a Lucite.
I did a spider in glass-fibre resin once, I think Ive still got it somewhere... L
Scorpions have an exoskeleton, meaning you'll need a method of removing/drying the insides in order to preserve the carcass. You can try burying it in preserving mixtures like the Egyptians using salt or sugar. Alternatively you can do what nature does and leave it exposed to direct sunlight until it dries out. Keep in mind that other animals may beat you to collecting it if you're not careful.
This would be pretty easy to do. I also found this: http://www.inquiry.net/outdoor/autumn/taxidermy/insects.htm
The Google-fied White Box of Finding Stuff says no.