Ed, I'm not sure if this is your first foray into macro or not and if it isn't, I'm sorry if this is telling you stuff you already know. My advice would be to hone your macro skills with larger subjects and once you know what works and what doesn't, start working with smaller subjects.
As others have mentioned, depth of field can be a problem. With macro photography, depth of field is based purely on magnification and f/stop (focal length has no bearing, other than its effect on magnification). The greater the magnification (for the same f/stop) the shallower the depth of field. The "smaller" the f/stop (larger aperture), for the same magnification, the shallower the depth of field. For the size of the spiders you have there, your magnification needs to be very large and as such you end up with almost no depth of field, even if you go for f/22 or "greater".
To illustrate the point, here's an uncropped shot of a tiny spider (similar to yours) that was shot with a Nikon D300 with Nikkor 60mm f/2.8 macro lens with stacked Kenko tubes of 36, 20 and 12mm. It was shot at f/22 (note that is f/22 on the lens, the f/stop is much "larger" if you take the effects of the tubes into account). The lines in the background are millimetre graduations on a ruler and so as the frame is 10mm across, the magnification is around 2.4:1, i.e. 2.4 times life size. Now, while the top of the spider appears sharp, the graduations on the ruler do not. The spider is only around 1mm high, so the depth of field is less than 1mm.
Now, while using a "larger" f/stop (smaller aperture) will increase the depth of field, it introduces diffraction which can cause the image to look less sharp. This means that basically when you increase magnification, you end up in a lose/lose situation. Depth of field decreases and the only thing you can do about it ("larger" f/stop) works against the overall sharpness of the image. Of course, if you can keep as much of the subject in one plane, you can also keep more of it looking sharp.
So... while shooting really small subjects can be fun, you'll get a lot more sharpness (and satisfaction) with larger macro subjects.