It's sometimes really annoying to take photos from insects. You've prepared everything and you've been super careful the whole time and then... one wrong move and the grasshopper jumps away or the bug flies away. Or you've starte to take your stack and wind comes up or the sun hides behind a cloud.
I usually use a tripod in upside down position with a long rail to mount the camera like shown below.
Furthermore I use a 60mm EF-S macro lens and sometimes an additional Raynox DCR-250 lens.
It's important (if you want to take not only one shot but a complete stack) to have a look to the exposure and the wind as well. So I sneak up on the insect, bring the camera in position and start to take the pictures.
I would recommend to avoid direct sunlight during Midday. It's better to take pictures in the afternoon or if the insect is in a shaded area.
A good tip is to go out to a near meadow very early in the morning when the insects are still in the rigor of cold.
Best regards,
Jörg