I'd recommend f8-f11, sometimes f13. I usually dial in FEC to suit, with my first shot being a test shot etc. Most insects seem to let you get several shots off, so this works most of the time. I usually use ISO 200, 1/200, f11.
The images are pretty good, and it's great to see you capturing both the mating flies (yet to get this myself), and the bubble blowing fly. Well done. The last shot is an Assassin bug and is your best shot so far, very nice composition, colours, sharpness and DOF - well done.
As to the Sigma 150mm, it's big, heavy and takes a lot of practice and patience to get right, but is capable of delivering excellent results.
Cheers,
Dave