Yes that's what they are, the Northern Mole Cricket, Neocurtilla hexadactyla (Perty).
Thanks to rhizo_1 over on GardenWeb on the Pests & Diseases forum...
"They have to shed their hard outer shells, called exoskeletons, in order to grow. They puff up their bodies, causing the old skin to split."
I have found three in the garden so far. Two on the cucumbers and one on the spaghetti squash.
Texas AgriLife Extension
From the book:Field Guide to Texas Insects, Drees, B.M. and John Jackman,Copyright 1999 Gulf Publishing Company,Houston, Texas
This is a soil insect (feed at or slightly below the soil surface on roots, tubers and stems) that invades soil in pastures, gardens, field crops and turfgrass. Infestations are usually very spotty and localized. Mole crickets prefer sandy soil and are often found in golf courses and live in 1/2 inch diameter burrows. They are active at night and either tunnel just beneath the surface up to 20 feet per night when soil is moist in search of insect prey or come to the surface and run about freely. Tunneling activities can be very disruptive to many plants. They loosen the soil around the root system, causing the roots to dry out.
Feeds primarily on other insects and earthworms as nymphs and adults; their prey-searching activities involving digging shallow tunnels in soil, resembling mole runs, which disrupt rootsystems of turfgrass and crops. The southern mole cricket occurs in the eastern one-third of the state, having spread westward after being accidentally introduced into Galveston and other southeastern locations form South America around 1900. Life stages are not medically harmful to man and animals.
So there you have it. Mole Crickets.