In the current versions of Magento (Magento 1.7.0.2 and earlier), there is still no way to integrate custom cost-incurring, user-controlled components into the checkout process that can be enabled or disabled by the user (gift wrapping, shipping insurance, etc.).
If you want to implement shipping insurance, you should avoid taking the detour of manually duplicating the shipping options (one with and one without shipping insurance) or installing an extension that does the same thing. A better approach is to use an extension (e.g. one of the standard one-step checkout extensions) that provides a gift-wrapping option and rename it to "Shipping Insurance". This allows the user to enable or disable shipping insurance without being confronted with confusing shipping options. However, if you need both gift wrapping and shipping insurance options, there is no way around custom development.
