You would be surprised how close some bugs will let you get, slow movements and sometimes you can almost have the lens touching them ! Depends a lot on how jittery the insect is though of course. If you are shooting hand held then the technique to employ is to fire away as you move into focus. That is you rock gently back and forth and when you get into that inch where the subject comes into focus start firing away - often at least 1 of the say 10 shots you took will be sharp.
There are a number of techniques you can employ - including slowing down the subject by spraying it with freezing or very cold water. This is a tip from the Polish guy who shoots the best macro I have ever seen ... Google search for grzehoofr, just unbelievable and he gives a lot of tips too.
If you are going to photo stack then the best way is with rails on a tripod .... and / or a very still subject, flies are actually quite good for that !