Both the Sigma and Canon's macro lens are good enough for your macro needs. Filter and closeup lenses are a viable option to test out macro shots... (sometime I add my raynox to my macro lens for bigger magnification), but you would have to go much nearer to your subject, which for some nervous bug, is not a very good move.
Sigma's 150mm is a pretty heavy lens... something which I really don't like. I have been using the Canon 100mm f2.8 (non IS) lens for some time now, quality is good and I like it alot.
And like what many had mentioned, get yourself a good external flash and learn some flash techniques when taking macro photos. They are really more important than a tripod. One reason why I seldom use a tripod when shooting macro was that by the time you set up your tripod, the bug would have gotten away, or you might disturb it with your tripod... but it is not to say that a tripod cannot be use... you would just have to be very careful.