>>4070388f/8 is considered the standard aperture in non-stacked macro - it's a good compromise between DoF and speed. f/16 is four times as slow, so you'll need a lot of flash or a tripod in most situations.
I usually shoot at f/11, but you can also get good macro pictures at f/5.6
The key is to get the important parts sharp; in most cases, that's the eyes. There is, for example, no need to get a whole millipede into focus - you need its face and maybe a pair of legs, the rest is repetition. Out-of-focus areas will often add dynamic and the typical macro look to the image.
The fire bug picture you posted is actually quire well-executed. It could have a little more focus on the yes, but we see the legs, the angle is good (it's looking up to us) and the flash achieves a nice mixture of isolation and environment captured.
