Recent time I' m sorting insects by order and often I have some problems. And to easily solve them I need good insect identification guide to orders. So if you know some of them, please recommend to me.
'Kaufman Field Guide to Insects of North America' is a good one, even though it is for north-american species only it has a nice description of each order so it might be helpful for identification to orders:
For identification to orders, the best book is: Borror, Donald J., Dwight Moore DeLong, and Charles A. Triplehorn. An Introduction to the Study of Insects. Philadelphia: Saunders College Pub ( 7th edition)
I cannot find a guide that covers the Caucasus or even Eastern Europe other than one that was mainly photographs. However, you could find Michael Chinery's "Pocket Guide to Insects of Britain and Western Europe" useful. It contains some easy to use field keys as well as informaiton about orders and families with many colour and line drawing illustrations. see https://www.amazon.co.uk/Collins-Pocket-Guide-Insects-Britain/dp/0002191377 for an example of cost.
I agree Luis Miguel Constantino comment that one of the best book for Identification insect orders is: Borror, Donald J., Dwight Moore DeLong, and Charles A. Triplehorn. An Introduction to the Study of Insects. Philadelphia: Saunders College Pub ( 7th edition). this is a very useful book.