For the majority of my macro images I tend to use either full flash or natural light. Typically, I take high magnification images with the MPE-65mm macro lens using full flash and images of larger insects I take in natural light using my Sigma 150mm lens. Sometimes, however, there are advantages to using a mix of natural light and flash.
On a sunny day it can be nice to include a sunlit background or blue sky in an image as this can often provide a welcome splash of colour. However, it's not generally a good idea for the main subject to be in sunlight as this tends to cause harsh shadows and highlights. So one solution is to expose the image for the background and to illuminate the subject using heavily diffused flash. Once the flash is effectively diffused it is able to produce very soft light on demand meaning it's possible to get the benefits of sunlight in an image (i.e. a nice background) without the costs in the form of harsh light on the subject.
To do this effectively it is best to use a short focal length macro lens as this makes it possible to get the flash head very close to the subject (see this post for tips on how to diffuse flash) which significantly helps with diffusion. Also, if possible, try to ensure that the subject is not in full sun either by moving its perch if possible or positioning yourself so that you are blocking the sun. I use either my MPE-65mm macro lens or my Canon 60mm macro lens for this style of photography as both have very short working distances. I also tend to shoot handheld by gripping the subject's perch in my left hand and then resting the lens on that same left hand so that the subject and camera/lens then move as one. However, the disadvantage of using mixed light is that, if shooting at high magnification, the partial use of flash no longer freezes movement in the same way that full flash does. So, it can be difficult to go much beyond 1x magnification if using mixed light and if shooting handheld.
I typically use Aperture Priority at anything between f7.1 and f14 and ISO 200 or 400 and then dial in flash exposure compensation of somewhere between -0.5 and -1.5 so that the flash isn't too bright. It can take a bit of practice to get the flash exposure right.
Here are a few examples:
PLEASE CLICK ON IMAGES TO ENLARGE
Tawny Mining Bee
(Canon 7D with MPE-65mm lens, f141 1/250, ISO 400 and diffused MT-24 flash)
(Canon 60D with 60mm lens, f10, 1/250, ISO 400 and diffused MT-24 flash)
(Canon 60D with MPE-65mm lens, f8, 1/250, ISO 400, diffused MT-24 flash)
A juvenile Shieldbug (Picromerus bidens)
(Canon 60D with Cano 60mm lens, f7.1, 1/250, ISO 400, diffused MT-24 flash)
(Canon 60D with 60mm lens, f11, 1/160, ISO 400, diffused MT-24 flash)
Finally, another Ladybird on a Daffodil
(Canon 5D with MPE-65mm lens, f11, 1/200, ISO 400 and diffused Canon 580EXII Speedlite)