Incredible.
Things like this make me wish I'd continued my career in Biology - I never got to play with the big toys, but I did get to gold plate a wasp once.
And I'll need to read that PLoS article - they say symbiosis, but I don't really see the advantage for the mayfly in having prehensile antennae thrust into its wing. Unless it's having company for the long lonely minutes before the poor ephemeropteran shuffles off its mortal coil (or spring).