A few points ot add to the above.
Remember that whilst you can use a smaller aperture (bigger f number) to get a greater depth of field you can't just take the lens down to its smallest aperture and shoot there - after around f16 diffraction will start to occur and that can start to noticably soften your images (depending on camera used and lens).
Also since using smaller apertures means less light getting into the camera there are a few ways to counter to get your shutter speed up to either capture a moving insect or to counter handshake if shooting handheld
1) Raise the ISO - typically you don't want to take this too high otherwise you will get a lot of noise into your shots
2) Flash - good flash control for macro work is a great release and allows one to shoot with a nice low ISO and a fast shutter speed at smaller apertures - it will take practice and good flash lighting is not easy to get perfect, but its a valid and well worth considering skill
3) Boost ambient lighting - reflectors are great for reflecting more sunlight onto a shadowed image or to add yet more light to the scene - they are also light and cheap so they dont get in the way nor act as a great burden - though they do not work best in windy weather

For macro you can also use smaller reflectors rather than having to use the larger people sized ones.
As for focus stacking its great fun to do give it a try at some point and if you find a sleepy insect (early mornings or after cold rainstorm) it can let you get some outstanding results when applied right