I like your first shot.
Rhod's got most of the points I'd make. I'd also prefer to see the damselfly head on with that small DOF, so the OOF tail is in the background of shot.( Hope you get what I'm on about here). You could also try getting more side on so more of it's in focus at that DOF.
If you can afford a macro lens, then you've three main options. Either a teleconverter (which will magnify the image) and could be used for other types of photography.
Extension tubes are probably the other best bet. Ideally ones that have the electrical contacts in them so you can retain the lens aperture functions.
Lastly another option is a reversing lens. Which gives greater magnification by mounting a lens backwards on the camera. I'd personally go for the extension tubes myself.
Chris