Dragonflies are normally very skittish and not easy to approach...but once in a while, you'll get lucky, especially if they are busy eating, mating or cleaning itself. Or if you're extremely lucky, you'll find one that will let you shoot all you want, even though he/she is not pre-occupied with any activities :D
However, that doesn't mean you should approach your target hastily. There is this "RIH" (rapid incremental habituation) technique i found in a forum. Give it a read and try it out yourself. I am sure you will find it useful! Good luck!
All macro images shot with a 40D, Canon MP-E65 1X-5X Macro Lens and Canon MT-24EX Twin Flash
Canon EOS 40D 10.1MP Digital SLR Camera (Body Only)
Canon MP-E 65mm f/2.8 1-5X Macro Lens for Canon SLR Cameras
Canon MT-24EX Macro Twin Lite Flash for Canon Digital SLR Cameras