Arthropods like grasshoppers molt because

In arthropods, molting can be described as the process of shedding of external skeleton ( exoskeleton) so as to enable the organisms to grow.

Arthropods like grasshoppers molt because their exoskeleton ( present outside the body for protection) can not grow larger and therefore needs to shed periodically so that the body can grow larger.

Thus, in order to change the structures and morphological form that is allowing the organism to grow , the tough exoskeleton should be shed periodically and replaced by new, soft exoskeleton ( which becomes harder after some time).