rule #1: Don't even try!
rule #2: So you're stubborn? Well, then try to find at least a couple of swarms (the more the merrier), you won't stand a chance with a single one.
rule #3: Light must come from up front of your camera, but you also need a dark background.
rule #4: There's nothing more boring than a swarm of mosquitos, so make sure that there's some nice landscape in the background.
rule #5: Steal your mind against mosquito stings - you need to ignore them during shooting, else you might as well go back to rule #1 and follow my advice of not even trying.
rule #6: If you've been observant so far you might achieve something like that:
Those dots which look like image noise are a huge number of mosquitos.