Macro photography can be a tricky and frustrating experience. By investing some time (and some money) in a few bits of extra equipment you can make life a lot easier. There are plenty of other websites around which offer comprehensive tutorials on building a macro setup, this page just details the bits and bobs that I use.
Macro photography is almost always easier when you have plenty of light available. I currently use a single 50W halogen desk lamp as my light source. Ideally, a second lamp would also be used to throw even more light onto the subject. To compensate for the colour cast from the lamp, I always shoot a grey/white card before starting to take real pictures.
Light diffusing box
If you simply douse your subject with light directly from a desk lamp you will end up with very bright highlights and very deep shadows. Sometimes this is what you want. I find that slightly softer lighting works well for macro pictures, so I built a light box to diffuse my light sources.
The basic construction is very simple: take a cardboard box, line it with white paper, cut holes in the side and cover the holes with tracing paper. The tracing paper on the sides of the box diffuses the light evenly inside the light box. There's a good tutorial on how to build this box somewhere on t'Internet - just use The Goggle to find it. My lightbox is very rough and ready as it's only designed for macro subjects. If you are photographing larger objects, take more care with lining the inside of the box to avoid ugly seams.
Tripod setup / focus rails
When using very high magnifications it is almost essential to have a good stable tripod. I use a Benro tripod with a fairly sturdy ball-head. Cheap tripods may seem tempting, but they are usually a false economy - you'll get annoyed like I did and end up buying something decent in the end.
With macro photography, focussing is both critical and very difficult. The optical properties of a macro setup leave you with a very shallow depth of field. It is almost always better to control the focussing in a macro setup manually. Autofocus usually doesn't work very well (of course, you may have better luck than me).
After a bit of experimentation and research, I found that the easiest way to focus is to use a set of adjustable rails in between your camera and the tripod. These are typically geared racks which allow very precise control of the fore/aft position of the camera.
Focussing racks can be purchased for around £30 on eBay, or about £50-£70 in a camera shop. I decided to spend a bit extra and purchased a Novoflex Castel-Q rack. This rack is very well built and has absolutely no play in the mechanism. Another nice feature is the Arca-Swiss compatible mounts which allows it to work with other bits of equipment (such as my Benro tripod).