One of my photographic obsessions in the last couple of years has been capturing insects in flight. Particularly bees and hover flies. I have by no means mastered this art yet. But I have bagged a few shots that I like and I have learned a few things along the way.
I suspect that the best way to get really superb shots is to find a flower that the insects frequent, set up the tripod, lock focus on the flower and use a remote shutter release to fire off a load of shots every time a bug comes near.