That last one looks pretty good!
I'm still learning macro myself, but advice from others here has really helped my macro shots tremendously. You definitely need to bump up the ISO and use a much smaller aperture (higher number). I've used up to f/32 and just bump the ISO to whatever is needed to compensate, along with flash.
For example, this was my most recent macro:
http://www.thephotoforum.com/forum/macro-photography/298967-these-stink.html
The second one was shot at ISO 400, f/22, 1/200 shutter speed--handheld with flash (at, I think, about 2/3 power, maybe not that much). I use a Tokina 100mm f/2.8 on a D5100.
Sometimes those shallow DOF shots can be very effective with macro, depending on what you're going for. But most of the time, you are going to want to go to at least f/16.
One other thing: shooting handheld, sometimes using burst mode can be helpful to get a really good, crisp focus. I try to brace myself against something if possible, keep the camera as steady as possible and all that, but if I fire off three shots, the middle one is nearly always the best of the lot. On the other hand, I have a hand tremor--if you have fairly steady hands, that may not really be necessary.