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As far as I know, most insect cuticle is fairly waterproof, but can be made more so by the addition of hydrophobic hairs or scales. I'm not sure whether the hairs are regularly "dressed" with oil or wax or whether they are structurally hydrophobic anyway.
I once looked at the feet of some ephydrids using a scanning electron microscope. What was clear was that the specialist water walkers like Ephydra have greatly reduced puvilli and empodium (not absent as some books say!), and that the hairs around the last tarsal segment are rather long. I suspect it's the hydrophobic nature of these tarsal hairs that stops the fly breaking through the water surface. The difference between a "terrestrial" ephydrid like Lamproscatella (on the left) and an "aquatic" ephydrid like Ephydra can be seen in this photo.