Foam is easiest to use to make the body and silicone skirting (not rubber) for the soft legs. The problem is wings, and it is a problem. I have tried MANY materials, none with success. Those firm enough not to collapse are like casting a kite and flutter. Those easier to cast collapse toward the tail. Those that float don't look realistic, and those that sink sink. Trying to retrieve a fly once it's on the water is worse. Big wings want to tip over the fly, and soft wings really fold against the body now. Here's a list of some things that DON'T WORK for wings: krystal flash, flashaboo, bucktail, closed cell foam, packing foam, plastic bag materials (like zip lock), raffia, etc.
You can try to use hair comparadun style, but it doesn't look quite right on the water.
Using hackle parachute style had potential, but the dragon fly has to be very small to have the hackle be proportionate. Even big saddle feathers aren't quite big enough for a fly the size of a real mosquito hawk.
To make the segmented body, put an upholstery needle in your vise clamping down on the hole. Cut a small strip of sheet foam. Make a point in one end. Start a few wraps of thread on the needle. Stick the point of the foam on the point of the needle. Fold the foam around the needle. Bring the thread over the top and around the foam. Segment one. Make another wrap at the same location. Bring the thread under the foam about 1/8 inche toward the vise and bring it over the foam again. Segment two. Etc. Etc. Whip finish when you think you have enough segments. Pull it off the needle. You want to leave about 2 inches of unsegmented foam attached to the segments. This will form the main body of the dragonfly, which you will segment also, just bigger segments.