Unfortunately, I don’t have much of a camera, so can’t give you good advice. However, I can refer you to some other people who take amazing photos, and that are willing to share their knowledge and setups.

Popular Photography: How to Photograph Bugs and Other Insects
PopPhoto.com reader Christopher Badzioch makes amazingly detailed, dramatically lit photos of insects with basic macro lenses and home-made accessories.

“Insects are cold-blooded, so cooling them off for a few minutes in the refrigerator will slow them down and make them more relaxed subjects…… Your subject may be in the legs-in-the-air dead beetle position, but it’s just cold…give it a few moments and it will wake up and be ready for its close-up.”

Also:

• Insect Macrophotography (includes camera details; highly recommended!)
• An additional site on macrophotos of insects, with camera/setup details
• An actual book on the topic
• Bug Dreams Photography (Including bee dreams)
• Insect Images: a giant database of insect photos, most of which are CC licensed

[PopPhoto article discovered courtesy of Boing Boing; photo from dalantech]