A few tips.
- Use a digital compact or prosumer camera with a macro mode, or a digital SLR camera with a special macro lens. At least 5 megapixel. A small sensor chip is an advantage as it will tend to give you better depth of field.
- Depth of field is the perennial problem. If you use a small aperture you get reasonable depth of field but the shutter time will be so slow that there will be motion in the picture. Of you use a large aperture you lose the depth of field. The solution is to use a lot of light - use a flash. But a single flash will give bad shadows and a 'flat' picture; so use two flashes.
- Or you can photograph dead insects, or insects that are sitting still.
- try to fill the picture with the insect. Get close!
- Stay mobile. A small camera that you take with you is more use than a large installation that you don't want to lug along.