Dragonflies can be found all over Skyrim. They float over water, are stuck in spider webs and can be bought or sold at various merchants.
A surprising number of insects survive in Skyrim's climate, many thriving in the lower, southern areas of the province. Dragonflies can be found in a great many places, and while catching them can be a daunting prospect, the reward is well worth the effort. It was beyond the scope of my research to determine whether the orange and blue dragonflies are fully different breeds or merely simple color variations, but through experimentation I found that the orange dragonfly, when combined with the very hardy barnacles found along the coast, transfer some of their flighty nature, giving the herbalist some very nimble fingers.— Agneta Falia - Herbalist's Guide to Skyrim