There a couple of good reasons why they don't do it. First, the Parliament can to an extent block new legislation but it cannot single-handedly do much, certainly not abolish existing laws (directives/regulations). So fighting the EU from the inside is a non-starter, even with a majority which anti-EU politicians do not have at the moment.
Since much of the decision making goes through the council (and ultimately the national governments), the most important thing is to take power at the national level. But even there, eurosceptics have no effective alternative to offer.
For most of the complaints are just made-for-TV indignation, with little concern for understanding the way the EU works and that is of no use in formulating policy. Many eurosceptic soundbites or columns are just plain inaccurate or based on misrepresentations.
Among those that are not completely fabricated, many stem from the way the single market operates, not from arbitrary overreach from the "EU establishment". The basic idea is that quality standards are defined at the EU level so that EU countries can trust each other and let products circulate freely. That very much includes rules on what can be called what or what makes a fruit fit for consumption.
So seemingly “weird“ legislation is not the result of some federalist conspiracy or EU power grab, it's integral to the core economic purpose of the EU. And it's technically difficult to see how you could keep the economic benefits of the EU (a goal many eurosceptic actually share or claim to share) while getting rid of the rules on cucumbers and bananas. That's why eurosceptics find it very difficult to move from denunciation to the formulation of any kind of policy or legal language that could be put in law (whether at the national or EU levels).
What the unfolding Brexit drama shows is that anti-EU hardliners do not know how to solve these conundrums and prefer to grand-stand from the sidelines. After winning the referendum, prominent leavers carefully avoided the responsibility to make Brexit happen. In other words, they have no idea what the course of the EU should be or exactly how their country could be better off out of it.