I used a yellow apple (which gave a good contrast background), an ordinary fly (any will do, all of them love sweetie stuff); Canon 350d camera + Tamron 60-mm macro lens. No additional lighting, just daylight. And a bit of photoshop. This fly wasnt in a hurry, more than a minute she posed me motionless, I've did a dozen shots, most of them I am quite happy. After it got enough sugar, the fly did cleaning maintenance and disappeared. This, actually, was my 1st experience with taking macro of insects - I obtained a dedicated lens just last september!

ps. your grasshopper is simply amazing find.