Also to clarify a few things: Why do you need to get so close? Are you trying to get something small to fill the frame, or do you have limited space in which to work? If the goal is to get small things really big, then getting closer isn't necessarily what you need - getting a close-up lens can help stand farther away while getting more magification power.
Also, do note that macro is sometimes harder than people expect with a DSLR, because a DSLR with a dedicated macro lens, especially one at 1:1 ratio, has an unbelievably small depth of field. With a bug just 1/2 centimeter long, focusing on the eye at F8 could have the body and antennae be completely out of focus. It's that shallow. Even stopping down to F11-15 is still very narrow DOF, and now you're dealing with slow shutter requiring either a flash, a tripod and still subject, or high ISO.
Many macro DSLR shooters of very small objects end up stacking multiple shots at different focal distances in post processing to get more of the small object in focus.
With a P&S camera, especially one with a small sensor, the depth of field is much larger and more foregiving...so when doing macro work, even with a closeup lens, you can often shoot at fairly large apertures and still keep a smaller subject completely in focus. Strange as it seems, P&S cameras really aren't a bad choice for macro - at least up until the extreme pro level with dedicated macro flash systems, diffusers and softboxes, tripod mounts with rail focus systems, good lenses, and lots of software to process, stack, blend, etc. For the average hobbyist looking to take macros for fun or general display, ultrazoom P&S cameras can sometimes actually be a better choice. Pair a Sony H5, Panasonic FZ20, or Canon S3IS with a closeup lens, and you're ready to shoot - and with the big zoom and closeup lens, you can get frame-filling shots at reasonable shooting distances some inches away rather than right on top of the subject.
Just some ideas to throw around your head! If your reasons or needs are different, ignore what I said!