This certainly works for me. I always look in which direction the wind is blowing. Which ever way it is, I can guarantee that the insects I'm after will be on the sheltered side.
Another tip. Go out just after it has been raining, or first thing in the morning. You'll find damselflies far more compliant and reluctant to fly away.
Once they've heated up, it gets harder and harder to get good close ups.
Once you've found an area where there are plenty around, watch carefully for one that has caught a fly. Again they'll not move unless they feel really threatened.
That's how I got this shot a couple of days ago. To get it I had to be no more than four inches away, yet despite me taking many shots with flash, the insect refused to budge until it had finished its meal.
