The first trick is to use the correct lens, assuming you have a camera that can take lenses (The digital SLR’s are now, and have been for several years, more than good enough to be worth it for serious photography.) I use a moderate telephoto (200mm) for insects. It can focus close enough to bring the insect into focus, but lets you stay far enough away to not disturb the critter. I could use a longer lens, but the depth of field is too shallow – which makes it difficult to keep the creature in focus.
The depth of field can be used to artistic effect, but I’ve found much longer lenses problematic.
I use a “skylight” filter to keep the lens clean, but don’t bother with a polarizer for these (I do when taking scenery – with a wide angle lens, but that’s a different post.)