I personally found that it is very difficult to take nice photos of insect because they never stay still. The major problem is that they keep moving or they fly away very easily.
I was pleasantly surprised that butterfly stays still during mating. I can approached them until I was only 1 foot away.
The above photo was taken using my 200mm macro lens, aperture F/36, shutter 1/60s, ISO-400 using my Nikon D600.
A back light was used in the above photo. This means that I used my off camera SB910 flashgun almost directly opposite the camera.
Click on the photo above to view a much larger image.