Plenty good info here. I can only reinforce what is already stated...
Know your subject. Dragonflies will often light in the same place, stick around and be still, it might come back. Damselflies too. Bees move almost constantly. Flies will light and stay sometimes, fly away if you get close sometimes. Grasshoppers will hide and sit still, but have fun trying to get close...or find them after they jump. Try to follow as they jump and you might see where they land. Move slow and you might get close enough, grasshoppers are unpredictable...but fortunately don't sting. Spiders move fast but sit still a lot. Look for webs. And in dark places.
Move slowly. Watch your shadow.
Wear earth colored clothes. No bright reds or yellows. Green and brown are great, they don't seem to mind blue jeans.
Sometimes I move the camera in and out to focus, sometimes I use the focus ring if I can see well enough.
A diffuser for onboard flash that works well can be made from a cash register receipt. Fold it into an envelope and slip it ove rhe flash, printed side out. The printed side is heat sensitive, a half dozen flashes will turn it black if you use the wrong side. Make sure you only have one layer of paper in front of the flash.
Practice on more stationary subjects, a lot of things will work for macro. Flowers, tiny flowers, coins, matches, almost anything. Still life shots inside is about the only time I use a tripod, it's useless with insects.
I never refrigerate insects. Keep an eye open, mornings will be cooler soon, insects will be sunning to warm up. Move slow and they may not fly.
K30 with Makinon 135mm manual, 55mm extension tubes, flash used. F16 I think, I usually set the flash for 1/4 power. ISO100, 1/180.
Same rig, same settings
Same rig, natural sunlight, ISO400, 1/250.
Flowers about the size of match heads taken with the same macro rig, I think it was 50mm extension tubes instead of 55. I have several options...
The possibilities are endless, and these are just some of the first few I found on my Flickr pages, not my best actually. As with anything else, practice will help you more than anything else.
The flash I used here is a Vivitar 285HV, usually set to 1/4 power.