Do the cheap tubes mean shooting with the lens at max aperture? Could explain the very shallow DoF! I don't know about Nikon cameras but with Canon EF lenses it is possible to "manually" stop the lens down by fitting the lens to a camera, setting the desired aperture and then removing the lens from the camera with the DoF preview button pressed....the aperture remains stopped down until you refit the lens to the camera without the DoF preview pressed. (sounds risky but have tried it with all my lenses without issue)
Don't think it's been mentioned as such that you can also use extension tubes with dedicated macro lenses to increase magnification. With the Canon 100mm macro and 68mm of Kenko tubes you get about 2:1 instead of 1:1 at minimum focus. I still use my extension tubes regularly on the MP-E 65mm...normally goes to 5:1 but with tubes I can get a little extra magnification and about 6.5:1...I like extension tubes
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Andrew -
My pics on Flickr
Canon 7D, 24mm f/2.8, 50mm f/1.4, MP-E 65mm macro, TS-E 90mm, 100mm macro