Obviously, there is the issue that the UNO is too big for the hex bug. I've read about etching PCBs, the Arduino Pro Mini, and using the UNO as a programmer or something like that to load it onto an "ISP"? (I'm not too sure how that last one works, any explanation would be much appreciated.) I'm pretty sure I don't have the tools or expertise to etch a PCB, so my options are just buying a Pro Mini, or loading it onto an ISP.
Second, there is my complete lack of knowledge on how the bug itself works. I've learned that it walks using what is known as the "Jamius walking mechanism", but I haven't found any resources about how the mechanism actually works. (Once again, any explanation would be much appreciated.)