I wouldn't recommend catching local fish/inverts for your tank. Unless you live somewhere tropical, you will be catching local temperate species that won't do well in the higher temp of a reef tank and will most likely outgrow the tank. There is also a good chance of introducing parasites to the tank.
If you are interested in setting up a tank just for local species, first check on the legality of collecting, I'm sure you will need at least a fishing permit. Then, find out what collection methods are legal. And, most importantly, research what species you have around to know what you are collecting and what their care requirements are. Smaller game-fish are most likely going to be under the legal minimum size.