this is the exact set up I use for my photographs, with exception of the white background.
it works very well. I also use a piece of aluminum foil under the fly to bounce light on the underside of the fly.
as for camera, I have a Nikon D50, I take all my photos in aperture priority mode, open the aperture all the way to maximize depth of field and also use macro rings (+1, +2, +4) on my 18-55mm lens. Most importantly, I use a tripod and a remote to take the photo (which is usually a 1-2" shutter time).