Have you tried hypnosis? Seriously, you just have to find a bug that doesn't like moving around that much. Some species are more mobile than others, bees and wasps fit into that category. I have yet to have a bee stay still enough to even think about focus stacking. Others, seem to stay put more. Grasshoppers, and dragonflies are in that category. I have several focus stacked dragonfly and grasshopper images. Also, you will find some individuals more prone to sitting still.
Early morning lower temps can help as well. All the cold blooded critters move slower when it's chilly.