Macro setup v2 (and how I currently shoot macro)

1. MP-E 65mm
2. diffuser cut from plastic bowl and lined with white plastic bag
3. PC cord
4. Manfrotto 492LCD micro ball head
5. Nissin Di866 flash
6. Canon 2x extender
7. 58mm reverse adapter
8. Canon 1.4x extender

Version 1 here which shows the plastic bowl and how the diffuser attaches to the lens.

This second version's notable improvements are the addition of the Manfrotto 492LCD micro ball head and the reverse adapter.

The Manfrotto ball head is reliably firm yet allows repositioning of the flash from different angles. Very useful for getting top down lighting for portrait angles. The really nice thing about it is that it comes with the flash shoe mount built in, very firm and solid. There might be a cheaper option here, seems to have good customer reviews although no idea how firm it is.

The 58mm macro reverse adapter allows reverse attachment of the 2x extender to solve the infinity focus problem during emergencies (ie. rare bugs larger than 3 cm). I leave the reverse adapter on and use a rear lens cap as my lens cap. Be careful when screwing on the reverse adapter, get a firm grip on the front barrel of the lens or there will be a risk of breaking the front barrel lever in the lens.

The 1.4x extender is optional and I use it only because I wish to bring the front element of the lens forward for more frontal lighting. It also effectively "increases" the focusing distance, that is it if I set the lens to 1x, my focusing distance is about 10cm, if I attach the extender, I get more magnification at the same 10 cm focus distance. Without the extender, to get the same magnification, the focusing distance is reduced since focusing distance reduces as magnification increases.

Bonus is that both the reverse adapter and the rear of the 2x extender function as lens hoods.

Future versions will probably include exploring which extenders are smaller and yet still able to provide infinity focus.

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How I shoot macro

I use manual focus and manual flash setting.

Manual focus because the MP-E 65 mm is manual focus. However, I find manual focus more accurate as sometimes autofocus tends to backfocus.

Manual flash setting because PC cord does not allow TTL. However, I find manual flash more reliable as the camera metering is often inaccurate and very frustrating. My current rig works very well with manual flash as the MP-E 65 mm has only one focus distance, so the flash power is always fixed. At higher magnification, the lens grows longer and the flash gets further from the subject. Longer lens also cuts down light (decreases the effective aperture). This however is compensated to some degree by the fact that larger magnification requires larger aperture to avoid diffraction. The net effect is about 1 stop more light needed at 5x compared to 1x and its a simple matter to adjust the flash power accordingly to match magnification.

The added advantage of manual flash is that it fires only once. This is very important in capturing bugs fast enough to react to the pre-flash of TTL.

Other things of importance have been explained by Kurt:
Flash duration - Why the flash controls your shutter speed or why flash "freezes" your subjects.

Macro magnification - Understanding what 1x, 5x etc. mean.