What do I need

[Spoonminnow]

Fur (including fine dog fur), feather, tinsel in combinations or by itself, fine silicone strands and other materials I can't think of at the moment. You can also wind a pipe cleaner made for jigs that comes in many colors.
A fly tying vice comes in handy as well as a bit of super glue to seal the knot (a special knot) and windings. I use a bobbin to control the thread spool and for tighter thread wraps. (as shown in the above reply)