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.

[![enter image description here][1]][1]

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.

[![enter image description here][2]][2]

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.

[![enter image description here][3]][3]

[![enter image description here][4]][4]

[![enter image description here][5]][5]

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.

[![enter image description here][6]][6]

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.


  [1]: https://i.sstatic.net/nrA3Y.jpg
  [2]: https://i.sstatic.net/H2VkK.jpg
  [3]: https://i.sstatic.net/yRU1u.jpg
  [4]: https://i.sstatic.net/qIhcI.jpg
  [5]: https://i.sstatic.net/lB1de.jpg
  [6]: https://i.sstatic.net/RwWvb.jpg