I used two different images of the same zebra for different sections of the final piece: 

the neck and head in the larger picture, and the mane from the smaller picture.

I started by adding the neck and head to fit over the dragonfly. 

Instead of cropping this image to a closer fit, I decided to leave the empty area for some experimenting with the stripes.

In order to fade the zebra head seamlessly into the dragonfly body, I knew I would require coverage of the zebra pattern beyond the initial pasted area. In these steps I cloned 3 additional white stripes across the main body, but left out any black stripes that would have been between them. I thought this would likely work much better when I attempted to create a transition with blending, lower opacities, and eraser use a bit later. I also cloned both the black and white into the upper leg areas and extended them down the front legs. This area was also altered later to create a more believable dragonfly to zebra transition.

While it was not an idea that I had considered at the start, I noticed that the zebra mane and the dragonfly tail presented an interesting correlation. I used a different zebra picture which had a better mane to work with, and cropped, cloned, stretched it into an element that was usable along the dragonfly tail. Distort and warp transform functions were also used while fitting and tapering this into place.

Once I had all of the previous elements In place, I started on the finer details that were needed. I started by copying/pasting the right wings of the dragonfly into a new layer, and then moving that new layer above the tail layer I had just worked on. This gave the necessary look of the mane going down the back and between the wings. I also used some cloning in order to "join" the stripes from the newer mane layer into the stripes of the previous layers across the body.

Before the final few steps, I decided to apply an overall warming filter to any of the insect layers in order to even out tonal differences. I also applied lighting effects to help merge all pieces further. My work in these final steps also included the use of the eraser, brush, and blur tools in order to create needed shadows/shading along the head, body, tail, and under wing areas. I also used the blur tool to transition sharp edges that existed between pieces of different layers. After those steps I decided to use filtering once again in order to bring up the white level some, and ease the yellow-ish tint that had been left behind by this point.