Many thanks for all the comments so far.

@Viv:   There's no secret.  Firstly stealth is required, move slowly and keep your shadow away from the subject as more often than not that is what makes them scarper!  Secondly, I find that for bugs a Macro lens of 90mm or longer is best as you have a greater working distance and don't need to get so close to them, personally I use the Sigma 105mm f/2.8 Macro.  Finally, use manual focus rather than relying on autofocus.