Why don't dragonflies wings collapse?
Wootton (1992) reviewed the anatomy and biomechanics of insect wings. Basically the wing is a lightweight but strong scaffolding of veins, supporting a thin membrane. The veins are composed by a sandwich of cuticle with a potential space in between. The membrane is also a double-layer but without the space.

In the venous space are is circulating hemolymph and often nerves and tracheae. The wikipedia image is pretty good:



The nerves carry sensory information and the tracheae oxygen.The hemolymph is continuous with the body and thus is able to circulate and hydrate the wing (important for maintaining flexibility). As Wootton says:


  desiccation destroys both compliancy and toughness, and a dry cuticle would be mechanically disastrous


So by maintaining a flexible tissue, insects have strong and tough wings that remain light enough.