Lens Shake and Mirror Lockup
It is very easy to have the lens and camera slightly shake with macro photographs, turning an otherwise great shot into a very blurry one. It is better to use a good tripod whenever possible (see How to Pick the Best Tripod at commonsensephotography.com).
Make heavy use of the mirror lockup feature of your camera! Mirror lockup means the mirror goes up when the shutter button is pressed, then the shutter is activated when the shutter button is pressed the second time. Pressing the shutter button can create lens shake also. Use a remote shutter release or use the self timer. Some cameras allow a 2 second shutter delay instead of just 10 seconds so there is less worry about the insect getting out of position.