My solo exhibition Wonders of Wisconsin: A Study on Insect Macrophotography was partially inspired by the work of Sam Droege, a member of the United States Geological Survey at the time. His position was to photograph animals using a technique called focus stacking. In order to do this, images with very narrow depth of field are taken along the entire insect body, and each image is focusing on a slightly different part of the insects. Then, using Photoshop or ZStack, these images are merged together to create on in-focused photograph.
The image above, the Virescent Green Metallic Bee, was composed of 28 separate images. There were other insects in my collection that I used over 80 separate images to create one highly in-focused photograph. At the time, I was using a Nikon D40 with the standard lens mounted onto a rail that could move at half centimeter increments. On the lens I had various macro filters that screwed onto the lens like any other filter, which made taking photographs a lot easier in my opinion.
There are many options for shooting macrophotography, and most do not require elaborate or make-shift set ups. Telephoto lenses work well for photographing insects in the field, but make sure it is in manual so you can adjust the focused area. With fast moving insects like some bees, this could be a challenge, but all it takes is practice.
Check out the work done by Sam Droege by going to his Flickr page: https://www.flickr.com/photos/usgsbiml/