Well, technicaly speaking, at least in the antennae department, it varies greatly from insect to insect. Insects are at least as biologically diverse as, say,mammals, if not a great deal more so.
Take this butterfly for example:

For the horns: yes, they have a keratin sheath, but underneath that sheath, they're bone:

Antlers, on the other hand, lack the keratin sheath and are just exposed bone (with the exception of the velvet layer while they're growing in, which is a thin sheath of furry skin.
As far as the nervous system goes, ultimately keep in mind that these are anthros, physiologically, most of the characters are going to be keeping a fundamentally human structure when it comes to some of the most basic body systems.
From what I've learned in biology class given the exoskeletons: there's a reason that insects only get so large. Because smaller things have a larger surface area: body mass ratio, you can contain the viscera and keep the structure of the body with the chitinous exoskeleton alone.
However, the bigger an organism gets, the more body mass you've got to the surface area, and in order to maintain that structure the chitin has to thicken exponentially to keep up with it. Eventually, without an internal skeleton, the exoskeleton has to be SO thick to contain the insides and keep a structure that the organism would be unable to move.
So, in the case of IoDM'ers, we have proposed that they keep their internal skeletons (or at least changed variations thereof to compensate for changed physical shapes), in addition to the hardened plates that arise out of the skin.
Evolutionary theory is a great thing to look into for analogous transformations. Seeing how something was formed expresses the human equivalent.
For example, beaks. THe beak is the equivalent of the bones of the upper and lower mandibles, not the teeth, as is fun, and usually easier to convert in artwork. Because of the Archaeoptryx (as well as some modern evolutionary throwbacks where you get chickens with teeth in their bills - hence the term 'hensteeth').
Article about beak evolution: http://jscms.jrn.columbia.edu/cns/2006-02-28/upson-birdbeaks
If you also look closely at a bird's beak area, you will see the nose "pushed up" around the edges of the hard bill, where the skin stops and the beak begins.
But, when you boil it all down, ultimately all of this is science fiction. ANY of this is completely conjecture, and even IF this was all possible, it would likely only be plausible about 20% of the time... with mammals. But yeah.