Not an awful lot wrong there Eddie. Don't forget, seeing as you're using a tripod and cable release, you can use any aperture and shutter speed you like without camera shake being an issue. Make sure you get the fly parallel to the the focal plane (front of lens/back of camera) both horizontaly and vertically. I can see from your shots that the flies are presented a little crooked, and this is the major contibuting factor to the lack of sharpness here and there.
As Stuart says, the smaller your apperture, the less sharp your image will be, but to be honest, you'd be hard pushed to notice the slightest difference. Best thing to do is go for a medium aperture (F8 - F11) and see how that goes. If the DOF is too shallow, then move the fly a couple of cm away from the lens - this will effectively increase the DOF.
Your lighting, and metering/exposure isn't too bad at all