You definitely need a macro lens for shots like this. Their design differs from regular prime lenses in a way that lets you focus on subjects much closer to the lens than a regular prime, so you can get this kind of detail; with a regular prime, you have to be a lot further out. (I took this shot with the lens objective element about six inches away from the wasp - a regular lens can't focus on anything that close.)

Somewhat counterintuitively, you actually need a very high F-stop to capture this kind of detail offhand, too - this was shot at f/32, through a lens that maxes out at f/2.8. The reason is that, the wider open your aperture is, the more off-axis light is captured - which produces shallower depth of field (DoF), i.e., a narrower space ahead of and behind the focus point that is also pretty much in focus. Because of the way macro lenses work, they exacerbate this problem a lot. So you need a very narrow aperture to have enough of your subject in focus for a good image.

(You do also lose some sharpness to diffraction at such high F-stops, it's true. But that's the tradeoff - high F-stop and deep DoF and diffraction losses, or low F-stop and shallow DoF and almost nothing in focus. The only way to compensate is by taking a lot of wide-open shots and focus stacking, but that requires the kind of time and precision that's only possible with a stationary subject - and this wasp was anything but! I might get away with f/22 or f/25 in the same situation today, but I'm a better macro photographer now than I was a year ago, too.)

Another effect of the narrow aperture you need for good DoF is that you're capturing very little light in any single exposure - there's just physically a smaller space for light to enter and hit the sensor. You can compensate for that by vastly increasing ISO sensitivity, but at the cost of adding a similarly vast amount of noise to your shots; the best way to overcome the light problem is by adding light with flashes.

Ring flashes, mounted on the filter thread at the front of the lens, are especially popular for this, because they produce a largely shadowless light that falls evenly on subjects very close to the lens. Another popular option is any of a variety of macro bracket systems, which let you mount regular "speedlight" flashes in a way that concentrates their light similarly to how a ring flash does. There are also systems such as Nikon's SB-R1C1, which combines a hot-shoe-mounted control unit with two (or more) flash heads that mount to a ring on the filter thread.

That said - sure, you can spend a lot of money on macro lighting, but you don't always need to. Especially if you're just starting out, a regular speedlight on the hot shoe, maybe with a homemade bounce card taped on to help aim the light at the macro subject, is absolutely a good starting option - especially since macro lenses tend to be a little spendier than regular primes due to their more complex construction. Better to start out spending money on the best 60-80mm macro lens you can afford, because you can't do without that and it'll give you a good opportunity to find out whether macro photography is something you really enjoy doing! Once you know you want to keep going, that's the time to be looking at complicated lighting and other gear that'll help you level up your ability to get keepers.

On a related note - image (sensor) size is significant, but not hugely so. I got that wasp photo with a Nikon D500, which has an APS-C size sensor, and it came out well enough that I can have 36x24 inch (91x61 cm) prints made from the full-resolution version at no significant cost in quality. (I actually have such a print hanging on my living room wall. It's quite striking! I never get tired of looking at it, although others rarely feel the same - I used to have it over my bed, but my boyfriend at the time asked me to take it down.) With a larger sensor, you can capture more detail and a wider field of view, for sure. But you don't need a larger sensor - I've seen shots made on Micro Four-Thirds system bodies that equal or better the best work I've ever done.

Overall, macro doesn't give the lie to the axiom that the most important piece of equipment in photography is the one between the photographer's ears. Macro is a realm where that axiom is maybe a little less true, because of the technical constraints of the style. But once you've got a good macro lens and a basic speedlight, you've got enough to where it comes back to practice, skill, and learning how to recognize the kind of images you want to make.

Oh, and speaking of skill - one thing about macro is that autofocus tends not to be very useful, both because AF systems tend not to handle the situation well, and because your plane of focus is so narrow at such close ranges that the best AF in the world can't keep up. If you haven't had much opportunity to develop your manual focus skills before picking up macro, you definitely will have once you do! It's easier than it might seem at first; modern AF cameras don't have the same kind of manual focusing aids that old film SLRs did, but you absolutely can train your eye to pick up detail and recognize where the plane of focus lies. You'll learn, too, to hold your breath while focusing to minimize wobble, and how to synchronize shutter firing with the tiny movements you can't stop your body from making, in order to get tack-sharp shots with the focus exactly where you want it. If I had to pick one thing about macro that's more than anything else a matter of skill and practice, that would be it - don't get discouraged if it's hard to do at first! I was terrible at it to begin with, and I can attest that you will get better if you work at it.

Anyway, that's a lot, but I hope it helps!

(And, yeah, those would be blood vessels in the wasp's wings, sort of - insects have an open circulatory system, so they don't work quite the same way we're used to thinking about as vertebrates. But they do circulate hemolymph - if you're interested, https://www.sciencedirect.com/science/article/pii/S146780391... has a good deal more detail.)