[Aerich]

You aren't doing anything wrong, specifically, but you may need some tweaking in your spell usage. It's normal for monsters at higher difficulty levels to go through an unprepared party like a laser through swiss cheese.

In tanking on Insane, you need some serious spell and item support, which is why only certain characters make adequate tanks. It's all about damage resistance and/or great AC. Because of the reliance on items and spells, sometimes you won't reach optimum tanking capacity until lvl 10 or better.

Paladin - use the innate protection from evil (under the special abilities tab), have protection from evil 10' radius, the best shield you can find or buy, preferably the Blur belt obtainable from Orrick, and the best combination of armor and other artifacts (it may be normal plate mail with a ring of protection in the early-to-mid game). A bard singing War Chant of the Sith gives a +2 AC bonus also. Draw Upon Holy Might increases your Dexterity for better AC. Ideally, your best (often only) tank should have an AC better than -15, preferably -20, including its spell buffs.

Fighter/Cleric - use as much of the above strategy as possible, DUHM is a must for offensive as well as defensive reasons, and Shield of Lathander (no weapon-based damage for 3 rounds) and Entropy Shield (+6 AC, immunity to missiles, saving throw bonuses) are dynamite when you get them.

Fighter/Mage - use Stoneskin, Mirror Image (with additional ones memorized), and any other spells that can better your AC - Spirit Armor, Blur, etc. This character probably shouldn't try tanking until after finding a suit of elven chain in the Hand or acquiring one of the high (er, low) AC robes from HoW or Lower Dorn's.

Fighter/Druid - this character is only a successful tank for two reasons: Static Charge and water elemental shapechange. Multiple Static Charges gives you a good chance to zap 'em before they get you, and the druid's water elemental (but not the water elemental summons, strangely) has good slashing resistance.

The key to successful tanking, as implied by Dundee and Azred, is to control how much you are getting hit by a) having great AC or resistances and b) controlling how many enemies can hit you at any one time by the use of spells or summons and c) weakening your melee enemies with spells, summons, or concentrated missile fire before, during, and after they get to your tanks. Against unweakened enemies (those not already damaged or Slowed, Held, cursed, etc), you should be trying to do far more damage with ranged weapons than melee weapons. Once they are weakened, the job of your tanks is to pound them into mush while avoiding much damage.

Note that many of the spells I've listed above do not have long durations, and even the best tank at higher difficulty levels without dominant damage resistances cannot fight for hours or ignore tactical placement (e.g. in a doorway where only one or two melee enemies can attack). In a really tough fight, you might only be able to take full-strength attacks for a few rounds, but that time should be enough for your spellcasters and/or archers to cripple the offensive ability of your enemies. Non-tanks should be concentrating missile fire on damaged enemies or the greatest threat to your party (spellcasters, superb melee threats). The above strategies are obviously most effective when using parties that are heavy on both spellcasters and warriors, even if the warriors "only" shoot.