Been watching your pics with interest. From an art point of veiw they are great but they would be sooo much more interesting if you could see more of the insect. When you work with such a shallow DOF you need to be acutely aware of how parallel to the insect you are to maximise the piece of the insect in focus. I am about to start some stacking and was given some pointers from a friend of mine that has taken all the pics for the moths online of Australia
http://www.ento.csiro.au/anic/moths.html
Obviously it is easier to shoot dead than alive but the same principles apply. The current stacking software of choice for most people is Zerene stacker
http://zerenesystems.com/stacker/
to do stacking pics you really need some serious equipment to take the pics in the stack.
for a place to go to learn start here populated by some of the greatest photomacrographers out there.
http://photomacrography.net/