hmm f9.5 and ISO 400 - already I feel you are high enough with the ISO, though on a 40D you can probably push to 800 if you need to. Idealy though I would try to avoid that - flash can be a great asset to macro insect work when shooting handheld - and even if you don't have that using a reflector (small and light) to shine more light onto the subject can make a big difference.
Aperture wise you can push all the way up to f13 quiet happily - f16 is a good upper limit to have - if you start to go any smaller (bigger fnumbers) then diffraction starts to come into play and that can lead to softer overall image quality).
Focus looks good - you got the eye in focus well - which is always important. In macro its often not forcing hte most depth of field out the camera, but getting the right angle so that you maximise the use of the limited depth of field that you have