can i get some good macro shots with this lens?

Can you comfirm the labling of the lens - is it the Sigma 70-300mm f4-5.6 APO macro or the Sigma 70-300mm f4-5.6 macro -- or is it a much older model lens without the macro lable (there should be a macro limiter switch on the lens itself if it is a macro version of the lens).

 

With a tripod (idealy) you can get some decent results out of that lens at the macro setting (infact I found it to be the lenses strongest point). It is not a "real" macro lens because it cannot achive 1:1 magnifcation (that is the subject as reflected on the sensor is the same size as it is in real life) but gets to 1:2 (half life size).

In realworld terms this is quite a noticable difference:
These two sets should give you a decent idea of what the 70-300mm can achive (note these were taken with the older non APO edition so yours should be able to get things a little sharper - a tripod and mirror lockup make a lot of help)
Random G 1000 - a set on Flickr
Random D 1000 - a set on Flickr

Where as a dedicated macro lens can get shots like the following:
IMG_0102 on Flickr - Photo Sharing!

So you are partially limited in what you can get in terms of closeup work - but good methodology and setup can ensure that you still get some good results. Firstly a tripod is very helpfull (especailly if you don't have a good flash setup) and even for insects can work very well (early mornings and after rainstorms when the insects are cold and sluggish). This helps give you a stable shooting base and removes handshake as a factor.
Secondly check your camera manual for a feature called Mirror Lockup - for macro its a great way to again remove shake on the camera setup from the equation. It works best with a remote control, but using the timer feature works just as well.
Thirdly lighting - even a popup flash can give some good help with 1:2 macro - though I do advice diffusing the light from it a little - a few folds of white toilet paper (or similar materail) held over the flash will give the light a little softening and help to remove its harsh glare. Good ambient lighting is also very important.
Finally there is subject movement - wind is a very big pain in outdoors macro work and whilst cable ties and sticks can help to limit movement from light wind you might also need covers and windbreaks at certain times (or just have to come back another day).