I use a reflective plastic board as white background. The original photos come out in a light gray colored background that later I whiten with software. Light-colored setae and transparent wings (like in this wasp) are difficult to capture using this method. In cases like this, I prefer to image the wings alone, but it takes more time and patience. Sometimes I use a black background instead. Deleting/replacing the background color results in a uneven ("choppy") contour so I avoid doing this.
Thank you Steve for your kind comments.

and thanks for the technical info. I should try that approach instead of just leaving my gray background

It's ideal to experiment, but gray has its fans. A week ago, I had an online chat about macro-photography with four colleagues and they all prefer gray backgrounds with the occasional use of other colors. They see gray as a compromise between white and black backgrounds. After a lengthy debate, I concluded that the background color is a personal taste or even an artistic choice. For instance, some people like casting shadows of legs and antennae on a light substrate to avoid giving the impression that the specimen is suspended in mid air. Personally, I think that strong shadows compete with the specimen; especially when the photos are seen as thumbnails. Probably it is best to take praise and criticism about our work with humility and an open mind, but maintaining oneself as the final arbiter.
Keep up the good work!

I think the background color is a personal choice. The gray works well but the white background makes for a far more dramatic and attractive photo