Pingu and Salvatore are you using a flash to get your pictures?
I'm musing about buying a speedflash rather than using the popup on the camera. I could use a diffuser then.
Sometimes I use flash - like this. It's a Neewer TT560 speedlight, and a diffuser like
this. All held together with a bracket, magic arm and cable, with the result that the front of the diffuser is right next to the lens.
Flash is at a fairly low power (giving a shorter duration). My Lumix GX80 is only supposed to sync at 1/160, but with a manual flash I found I can get away with 1/320 without any of the frame being blacked out. Because the fall-off in light is so steep, anything but the subject is dark. I quite like the effect.
Without flash the backgrounds are brighter, but you need plenty of light, in this case bright sunshine.
I've also tried focus-bracketing and stacking as mentioned by andrew_s in the other thread. At the best of times you're depending on the insect staying reasonably still (or not flying away at the very least), but this method relies on it being absolutely still. I managed to produce one image where the insect almost looks OK, but on close inspection appears to have 4 antennae. There are plenty of youtube videos on focus-stacking in a studio where they are using a dead insect, but that's not my cup of tea.
This crane fly picture was produced by bracketing and stacking to get the wings and as many legs as possible in focus. I stacked about 4 or 5 images.
[BTW the lumix gx80 has an in-camera post-focus facility, but it's pants for macro. I use focus bracketing and then hugin utilities to combine the images. Then when that doesn't work I use GIMP to align the images and try again.]