#1, #2, #4 and #5: You have to get a handle on your background! There is too much coherency there (even though it is somewhat out of focus) for me to fine the wings and the subject begins to blend in. DOF is too great for that background.
#3 is getting closer! Compare the background of this to the others.
Harsh light hurts with this. Be careful of blowing the hightlights (easy to do with direct sunlight). With dragonflys, they sit still sometimes, so maybe a small, handheld, diffuser might help?
Sometimes the focus appears to be more on the body than the head. Do you manually focus or auto?