Great shot! Yeah leaving it on Aperture mode is fine, if you increase the ISO as i suggested the shutter speed the camera will suggest will be much higher, and will freeze those little critters still and will cancel out any camera shake. I'd suggest an ISO of 1600 if you want a good balance...
Jack Straw what shutter speeds are you getting? It looks to me like there is a little bit of motion blur creeping in in that grasshopper shot.
Im guessing because you're so close up you're using a pretty small aperture (f8+), meaning you'll get relatively slow shutter speeds. If you haven't...