Hi Thea,
I agree with the information given by Roger, although I've had some pretty good results at 500mm with the Bigma.
I'd recommend a minimum aperture setting of f8 to f10 for Dragonflies and butterflies, even smaller if you have the light.
Is it the ZD 50mm lens you have?
If so, are you aware that, when used with the EX-25, this lens will give 1:1 macro and retain the ability to autofocus?
The ZD 50mm is sharp as a tack, it's downfall, as you say, is that you have to get very close to the subject but that is possible with some practice.
The Sigma 105mm is also a very good lens and works well in conjunction with the ZD EC-14.
This photograph was taken using that combination, as you can imagine, I was very close to the subject.
We have the 50mm, Sigma 105 and Sigma 150mm lenses, the Sigmas get the most use.
I hope this is of some help.
Dave