I find that the auto focus on my FZ28 doesn't like to work very well near its minimum focal length. When I take Macro shots, I generally just put it in aperture priority and use the manual focus.
Yes, you want good lighting, and keep in mind that when you're close to the subject the camera itself will obscure light. But that's the great thing about macro shots - you can set them up however you want, control the light, and no one would ever know.
I agree that manual focus is the way to go when taking macro shots. Because of the shallow dof, you need precise focus.
Btw, I returned the Hoya closeup filters and got a Raynox macro lens instead. The difference is night and day. I just posted some shots I took with it. I highly recommend it.