I'd suggest taking macro shots a step at a time too as Markulous suggests. Though I will admit to prefering to use flash on these critters, especially if they are in flight.
There's also a clue in silkstones image in capturing bees etc in flight, and that's to setup near a plant they like to visit and then snapping it. Flash will help to freeze the insect in flight.
Some good bug advice marco tips can be found in this article
Plonsky - Macrophotography Article
and this one too.
Beautiful Bugs: How to Do Macro Insect Photography