The parasite in question, Toxoplasma gondii, is specific to warm-blooded vertebrates in all of its life stages. In order to infect a host, the microbe must be ingested - transmission through the skin is not possible. In most humans and other species, infection with T. gondii doesn't even cause illness, and when it does, the symptoms are generally mild. Beetles are not vectors of these types of unicellular parasites, and I am quite confident that the possibility of them transmitting anything to humans via handling is effectively zero.
If you are handling soil and composts regularly however, you might want to at least consider making sure that your tetanus vaccination is up to date, as the bacteria that cause it tend to be found in such materials. The chances of contracting tetanus in the US is quite slim (only around 50 cases in the US each year, mostly in people that weren't vaccinated as children), but anyone prone to frequently getting small cuts, scratches and punctures in their skin (gardeners, farm workers, etc.) is at an increased risk. People have gotten tetanus just from being pricked by rose thorns or scratched by barbed wire. If you are handling anything that may possibly be contaminated with horse manure, the risk is considerably higher, since horses are a major reservoir for the bacterium (Clostridium tetani). The feces of any mammal can harbor the bacterium, however, and its spores can survive in a dormant state in the environment for quite a long time. In any case, if you've been vaccinated against tetanus (like the vast majority of people in the developed world have), you're probably already immune. The main risk is to those who never received the primary childhood series of shots, or people who are over 60 and have never gotten any booster shots since.
Lastly, I should point out that I've been handling beetles (and soils, composts, decayed leaves and rotten wood) for well over 30 years now, and so far, no infections related to that. Just wearing gloves and washing your hands a lot will likely keep you out of most trouble, and if you do happen to get a cut or puncture that's deep enough to draw blood, clean it promptly to minimize any potential for infection.