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How do dragonflies manage to fly at such high speeds without their wings collapsing? Their wings are thinner than paper, but they do not even flutter. What gives them their strength?

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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:

enter image description here

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.

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