Here's a fairly simple set up (although enhanced in post) which I think worked quite well. Macro shots aren't always easy, mostly because of the super shallow depth of field, but also because it can be tough to get light into that tight space! Having the camera and lens so close to a subject makes it awkward.
I stopped my iris down to f3.5 to give a me little more than razor thin DOF (f2.8 that close is RAZOR thin). The 1000 led (daylight balanced) LED's I purchased from ebay recently (check this guy out, these lights are awesome!) are a joy to use and have amazing output and quality. They are my new Kinos!
For this shot I placed both lights either side of my subject and added some soft fill (and a subtle reflection) from a white bounce board.