I have good luck with my MPE-65 lens using a simple two-AA-cell LED flashlight, a 3-watt (80-lumen) model by Mallory. It cost about $25 US dollars and provides plenty of focus assist lighting. I simply hold the light in my left hand, pressed against the lens on the left side, and can easily aim it at the bug without looking up from the viewfinder. I also have a short wrist strap attached to the light so that the light hangs from from my left wrist if I let go of it. This way, I can let go of the flashlight at any time and it doesn't fall to the ground or otherwise disturb my efforts.
Curiously, very few bugs react to this *very* bright light while I'm trying to take their photo, even though many bugs react to a sudden shadow of my hand or something blocking their sunlight by creating a shadow. Perhaps an increase in light is close enough to the sun coming out from behind a cloud or the ordinary full sunlight events that happen in a bug's life.
I think I would prefer my handheld flashlight as a focusing light to a "headlight" since my head is typically pressed against the viewfinder port and can't be moved very much. Perhaps I should try a headlight out before forming an opinion, though!