Well, I'm mostly self taught on the tying stuff, but here is what I do for dubbing on flies. I use pretty much any thread, but have a slice of solid wax that I slide on the thread to coat it before I twist on the dubbing. It helps the dub to stick to the thread, but have no clue if this is right... a small junk tying kit I bought had the wax, and this is what I've always used it for. :D Correct me if I'm wrong anyone...

For the bodies of small flies, lately I have been using peacock herl wrapped on. Has a very cool look and has been working good so far this season. Have learned you have to make sure it is locked in every couple of wraps or has a tendency to unravel once wet.