Some very good info in this thread, glad to have gone through every post. i would enjoy hearing of others techniques, and I will post a little too.
Firstly, everything I shoot is hand held except for astro. When going out for insects, I begin with the Sigma 105mm mounted on a D5500 and the Raynox 150 attached to the Sigma. Use popup flash and the current version of a home made diffuser. On days that I feel cocky, I use the Raynox 250. When approaching an insect larger than 1/2"/13mm, I remove the Raynox.
Going in, the camera is set to infinity and I manually refocus continually until seeing the first shot, click. If that does not cause an escape, chances are it will sit tight until you or something touches it or the leaf/stalk it sits upon. I may get one more before re-attaching the Raynox and then go in tight with the focus long and manually refocusing back in. In some instances you may need to stretch your camera away from your eye, this is not a problem, just keep your sight in the viewfinder and follow as far as you can. Whenever possible, get your left hand, elbow, shoulder braced on something. Or, grab the stalk or leaf your target is sitting upon in your left hand and bring the camera, lens or your right hand to rest on your left. Or, if the insect is half way up the plant, you can easily grab the top of the plant and make adjusting maneuvers.
Lighting seems to be evolutionary but I think I am getting close. Tried a hot shoe flash and immediately dropped the idea. Popup flash with two diffusers, one at the end of the Sigma, slightly tilted from vertical and one on the Raynox flang, tilted close to horizontal. This works well for shooting from a distance without the Raynox and then when very close too. Will post images of the rig in a week or so when I get this last mod dialed in, fingers crossed.
The flash intensity is variable to meet the natural conditions, beginning with 1 under and adjust from there. Working the edges of a trail, meadow, road is all I do, tried getting further into the tall grass but was not very successful.
Cripes it seems simple enough while composing this but the truth is, I began with huge failures and frustrations. About had a stroke three or four times from holding my breath so long. For me, it honestly made a huge difference in enjoyment and Image quality after forcing myself to relax. If you already know your exposure aspect and camera equipment, you will get shots. If not, move on to the next insect. They are everywhere and even while searching for them I'll bet I miss way more than I spot.
Looking forward to hearing what works for you.