Hi nobby,
First, which camera do you use? - I had a Nikon D40X but wore it out, I now have a Nikon D90 which is much better.
Do you shoot in manual or auto settings? - I use Manual. Settings are all important, it depends on which camera you are using as they differ in the results so you need to play with speed, EV, f# and at times flash compensation.
Do you use flash? - I almost always use flash, it picks out the finer details and can make dull days worthwhile!
Try setting your metering to the centre area, also if able set the focus area to either a centre 'spot' or depending on the camera such as the D90 I now set that to the 'wide' focus area which allows for movement, and there is a 6, 8 or 10mm area so I chose the 8mm as it works best.
With the D90 I rarely have to bother changing the speed from 1/160 sec but it depends what I'm shooting, for most insects that's pefect. (The D40X was a different kettle of fish!) If I want a darker background say for a flower I up the speed to 1/200 sec using flash, and often up the f# from a normally used f14 to f20.
In reasonable conditions I use f14, if brighter I use f16, if dull f13 or even duller f11 down to as low as you can get in very shaded places. If that's not enough, up the EV, and the flash compenstion if still not enough. If all that fails, lower the speed.
There is no real option to taking insect photos other than hand held, they don't hang around and you need to be able to get in awkwards positions. It's like learning to ride a bike, if you want those good shots you will learn to do it. I often use one hand to take shots, with an insect on the other or having to lift a branch or leaf with one hand. Again, snap when you see it in focus, quickly! You get the hang of it with practise and will learn to not wobble so much, I sometimes find it better using one hand to hold the leaf etc. the insect is on when it's windy as I can control it better.
They don't all fly off, if you get used to approaching quietly and slowly they don't usually go so quickly so don't rush it. First try getting a distant shot if you are worried about it going, then gradually work your way in. Insects get eaten so react to sudden movements!
I use a Nikon 105mm macro VR lens with a 2x teleconveter, total weight with camera 4 pounds! It's well balanced, practise and you will be surprised how easy it is.
The really terrificly perfect shots you will find have been layered with several shots so don't expect to get that sort of result from straight photos, but good shots can be got with practise.
Janet