To photograph a flying insect, it is a good idea to pop it in the fridge for a while. They are cold blooded and just go to sleep when it is cold. When I have my camera set up and ready, I let it warm up to the point where it can walk but not fly, to take its portrait.
This is easy if you have reared it in captivity, but for a wild one you first would have to catch it. To do this I suggest you use a large clean glass or polycarbonate bottle with a wide mouth. You hold the bottle so that the mouth is to the insect, holding the bottle at the other end so the insect cannot see your hand. In the other hand you hold the lid. You slowly bring the mouth of the bottle over the insect, and then frighten it with the lid so that it flies into the bottle, put the lid on quickly behind it while the insect explores the bottle, and there you go.
For many years I would photograph them :
Lately I have been using digital camera which has a macro capability. It is a Nikon 5400 but it declines to use the flash on the macro setting so needs rather a lot of light to get both a a good depth of focus, and also a brief exposure (to reduce the effects of the shaky hand).
Setting is necessary to show the hindwings of a moth or butterfly. To kill a moth or butterfly humanely, I put them into a freezer. Being cold-blooded, they go to sleep, then die in their sleep. For the expired specimens, I then keep them frozen them until I can set them. I find that the frozen ones, on thawing, set very easily. I use a thickish piece of polystyrene foam in which I have cut a groove to accomodate body and legs. I pass a stainless steel pin (normal steel rusts very rapidly under the influence of the insect body fluids) through the centre of the thorax to secure the body. I then set each wing separately, adjusting its position with the tip of a pin against a major vein. Once in place, I secure the wing with a strip of paper pinned at each end, with pins leaning away from each other to stop the paper strip from riding up. I set the forewings first, arranging the rear margin to be at right angles to the body axis. Then I set each hindwing so that it connects with the underside of its forewing. Then I leave them in a shoebox to dry, with a piece of Shellguard (stuff used to hang in wardrobes to ward away nasties).
Relaxing dried specimens to set them is a pain. Firstly, I try to relax them for a month or so in a humidifier containing water and lots of chlorophenol to inhibit mould. Then I try to set them as above, but often end up actually pinning through the wings using the major veins to hold the wings in place. It leaves them a bit damaged but rather easier to identify than not setting them at all.
Each specimen, when dry, should have a small piece of thin card mounted underneath on its pin on which is printed the country, state, and location where the specimen was obtained, the date it was obtained, and the name of the collector. Additional notes of interest about the specimen should be printed on a similar piece of card also on the same pin under the specimen. I usually write out the labels when I pin the specimens, and put them alongside each specimen, as these details are easily forgotten.
(updated 21 November 2009)