This depth of field chart will give you an idea of the dof you are working with, when you start getting over f16 you will lose sharpness to diffraction like Rory says so it is a compromise.
If shooting hand held crank down the apperture so you have a better chance of getting the focus point in the right spot. Flash is also needed for hand held to get the smaller appertures. I will go down to f32 depending on how well braced I am, Kneeling down is better than standing and sitting bracing your elbows on your knees or laying down with the elbows on the ground all work will, standing and bent over is the worst you amount of keepers will be very low.
When using a tripod you have more presices focusing so f11-f16 becomes more practicle, flash will still be needed if the subjects are moving or there is wind.
I find a Right Angle Finder with magnification helps greatly with focusing, the D70 viewfinder isn't good enough on its own to tell where the exact focus point is with my eyes and thick glasses.
Being in focus is mostly an illusion in macro you try to get the eyes in creatures in focus and parallel the subject as best as you can.
Another technique is take multiple shots and combine them later ps for an increased dof, this works but takes a lot more time in pp.
For natural light macro Klaus L is the master, it takes very good technique and the right conditions, but the results are outstanding
http://www.lellesch.com/v2/hautfluegler.htm#
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