A focus rail + stacking software will help you achieve deeper depth of field.

However, if you don't have a focus rail (or time to set one up), try to pick an optimal angle to capture as much of your subject as you can. This can mean using an interesting angle (e.g. focusing on the eyes), or using an angle that captures a lot of detail despite the shallow depth of field (e.g. from the side).

Capturing the picture takes patience and knowing your subject's habits. I'll elaborate with an example of each technique.

You can go to a natural habitat where insects are plentiful and likely to be engaged in different activities (including resting). This picture was taken near water.

You can capture a specimen and put it into an environment where it can't leave but is in no danger (and thus stays still). Let it find a place it likes, and settle down.

Some insects are very calm (possibly depending on the time of day). All three of these subjects let me take dozens of pictures. They were content to sit still and let me gently move them around.

This picture was taken in a wildlife education center that houses a large number of butterflies in a natural habitat. Not only are the subjects plentiful, but they are calm and easy to approach.

As a bonus, live subjects can be far more interesting than dead (or frozen) ones. The posture of a live insect (leg/antennae/wing placement) is different than a dead one.

A focus rail + stacking software will help you achieve deeper depth of field.

However, if you don't have a focus rail (or time to set one up), try to pick an optimal angle to capture as much of your subject as you can. This can mean using an interesting angle (e.g. focusing on the eyes), or using an angle that captures a lot of detail despite the shallow depth of field (e.g. from the side).

Capturing a live subject takes patience and knowing your subject's habits. As a bonus, live subjects can be far more interesting than dead (or frozen) ones. The posture of a live insect (leg/antennae/wing placement) is different than a dead one.

I'll show some techniques that I've used.

Habitat

You can go to a natural habitat where insects are plentiful and likely to be engaged in different activities (including resting). This picture was taken near water.

_{Single shot; DOF is shallow but the eyes, front legs, and wing edges are in focus.}

Containment

You can capture a specimen and put it into an environment where it can't leave but is in no danger (and thus stays still). Let it find a place it likes, and settle down.

_{Stacked shot with subject inside a clear plastic container.}

Choice of Subject

Some insects are very calm (possibly depending on the time of day). All three of these subjects let me take dozens of pictures. They were content to sit still and let me gently move them around.

_{Stacked from 20 or so exposures.}

_{Stacked from 20 or so exposures.}

_{Stacked shot, but only 2 exposures needed, since shooting from the side. I could probably have done this with a single exposure.}

Artificial Habitats

This picture was taken in a wildlife education center that houses a large number of butterflies in an environment where they thrive. Not only are the subjects plentiful, but they are calm and easy to approach.

_{Single exposure.}