Try keeping the length of the insect parallel to the film plane is the best way, other than that use flash and a small aperture. The purists will say that lens diffraction will be a major problem, but I prefere my macro to have as much DOF as possible.
The attached image (quality reduced by DCW) as discussed in my thread "A question on image quality..." It does however show the DOF.
1/100 sec @ f/22 + macro flashgun.
Harry
