Unless there is an ethical purpose to making a new photograph of a particular insect - scientific research for example, the least fraught approach is to use an existing photograph.
I mean if you are deeply concerned about a bug’s well being, then forego using it instrumentally for the sole purpose of your gain and/or pleasure.
Or to put it another way, let ...
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 ...
My practical thoughts:
Use a tripod
Get up before your models
Use a macro slider (for you configuration motorized)
The technique I used in the beginning was catching the insects with a glass while they were sitting on a wall or standing on the ground. Quickly slip a piece of paper underneath and bring it to a table where a flashes and reflektor was ...
When I research, I find some promising techniques, and some dubious ones.
Shoot very early, when the bugs are cold
Apply a (light) mist of water
Freeze the bugs a while, then shoot -> seem to kill many subjects
Anything else ?