But yes as Derral said no matter the method you use as magnification goes up the depth of field starts to drop off. You can lower your aperture to counter this, but also note that in most setups as you increase magnification your diffraction limit will also change accordingly.
Have a look at this set here:
MPE 65mm test shot series - a set on Flickr
You can view the fullsized images there and see for yourself how diffraction starts to become more and more of a problem as the magnification goes up. I'd honestly spend an hour or two testing this with your setup(s) just to get an idea of where the new sweetspots for sharpness are