Right, the art of 'bug safari'.

The main things is persistance. For every insect you get a good shot of, expect to have missed loads of others. So try, and try again. Also, try to keep stalking the same insect for a while. Often they fly off, then land in the same place or very nearby. So wait a while if it flies off. Also if you stalk one for a while, sometimes they seem to get used to you and become more tame.
The following tips will vary from species to species, but most are generally usefull; When aproaching an insect, move slowly and controlled. With that I mean know where each footstep is going to be and how its going to effect plants, grases etc. All too often, ive got really close only to stand on a bit of grass that knocks into the insect.
Approach the insect from the direction you intend to shoot. Its much easier getting side on to the insect from several meeters away than trying to move around it a few inches away. I also try and avoid approaching insects (and wildlife in general) head on. You'd be amazed at how good the eyesight is on some of these little critters, so try and get them from a blindspot (although this can often be hard when they have eyes on the sides of their heads).
Try and approach and insect as low down as possible. If you can get under their eyelevel then they will perceive you as less of a threat. This probably comes from the fact that things like birds always attack from above.
When shooting, I always hold my breath. This is for two reasons. First is to keep the camera more stable, the second is that some insects detect prey/quarry by carbon dioxide (mosquitoes spring to mind). When you do have to take a breath, try and do it away from the insect.
Watch the insect as you slowly approach it. Sometimes you can see when they are starting to get spooked, so just stop a moment and let them settle again before creeping closer.
And finally (although im sure i'll think of more later on) the cooler it is, the more lethargic insects are. As they are cold blooded (or fluided, lol) they need the sun to warm them up, so early in the morning tends to be a good time to get closer.
As for the technical side; I really don't like going over 400 ISO as noise really kills sharpness and detail at anything over that. F7 is good going though. Mine tends to hover under 5.6 depending on the light, but if you can get it this high then go for it. Im always looking at maximising the dof, so the higher the better. One trick is to get at rightangles to the insect (like you have in shot 2) as this will make best use of the dof that you do have. A flash certainly will help. Ive not got one or used one, but I certainly can see me using one in the future. Having said that, the flash will need to be used carefully as it can make the scene look bad, with stark shadows or make the scene look flat. So ideally diffuse the flash and try and put it off centre (via a flash bracket). But the main key to getting a sharp image, is to get the focus right. Even with a perfectly still hand and subject, its so hard to get the focus spot on. My trick is simply to take lots of shots. I know a large amount of them will be out of focus, but if I get at least 1 spot on one, then who cares. I shoot digital, so the extra shots don't cost me anything (Until the shutter goes anyway). Oh, and one final point; Always respect your subject and its habitat. Try and leave as little an impression on the environment as possible, and if an insect has behaved itself and sat still for ages.. thank it.

Hope that helps.