According to Wiki, cicadas live underground as nymphs for most of their lives at depths of 1 ft down to 8.5 ft. The nymphs feed on root juice and have strong front legs for digging. In the final nymphal instar, they construct an exit tunnel to the surface and emerge. They then shed their skin on a nearby plant for the last time and emerge as adults. The abandoned exoskeleton remains, still clinging to the bark of trees.
The above photo was taken two years ago in my backyard. You must have noticed the split at the back on my second photo. You might find it interesting to see how the cicada emerges as an adult here.