To approach an insect, you need to be very very calm and stationary. any sudden move of your hand/head/feet whatever will make it fly away.
Also start from farther shots, for example first try to get the shot at 1:4 macro magnification, then slowly get closer, and try again, and get closer and try again. this way if by when you got too close, it fly away, you still have some photos to crop and get something out of it.
Flash! flash! flashes really help.
Why? Helps you choose a narrower aperture, result: more DoF, more chance of getting the head/eye in focus.
Helps you choose a faster shutter speed, for a non-shaky shot.
Helps you choose a smaller ISO number, which results in crispier shot.
You don't necessary need a big or fancy rig, I usually use the on-camera flash with a cheapo diffuser which is in fact a semi-translucent white thing in front of the flash. since the subject is too small. this less than a foot long card will do the job.
Also flashing the subject will give you more contrast and sharpness.
Some of the insects are more stationary or bigger, so easier to shoot, start from them.
Dragonflies are one of them:
Some insects need some time to get used to your presence; spiders are one of them. (I think)
I found that wearing green colored shirt/pants help reducing their attention of your presence! and wearing shining colors like orange or red make them more alert of you.
Last but not least, work on your post process. that's ALWAYS a crucial part of the job, and macro photography isn't anything different.