Shadow casting normally spooks them but you can get pretty close. I use a Raynox DCR-250 on a FZ30 and work within a few inches. I gave up on a tripod as its too cumbersome, a monopod is less so but still an encumberance.
http://static.flickr.com/59/228646739_d82c05ebfe.jpg
Full size:
http://www.flickr.com/photo_zoom.gne...57594065969179
http://static.flickr.com/59/227543214_9c3fb1f9fd.jpg
Full size:
http://static.flickr.com/59/227543214_9c3fb1f9fd_o.jpg
http://static.flickr.com/69/218699057_b65578f927.jpg
Larger:
http://www.flickr.com/photo_zoom.gne...57594242330497
Mostly I find that they'll accept your presence and you can spend several minutes moving around most insects photographing from different angles. The main trick is to find your target species.