I use Polypropylene yarn -- orange or bright green -- obtained from the fly shop. Here is my technique -- I don't claim to have invented it. It just is easy and works for me.

Materials:

Polypropylene yarn

You will also need some small elastic bands obtained from the orthodontist -- just ask them for a bag of 1/4" or 3/8" inch elastics -- usually will give you a bag of about 100.

Procedure:

make a 1 to 2 inch loop in your leader by folding the leader -- not tying it. Where the loop is located on the leader will depend upon the depth of the water you are fishing. That is, how far from the nymph you want your indicator.

Stick the leader loop through the lumen of the elastics and begin continuously wraping the elastic around and through the loop about a half dozen times. This secures the loop.

Now you have a loop maintained by the elastics.

Stick about an 1 inch of the yarn through the loop and pull the long ends of the leader which will shrink the loop and squeeze the line down and hold the yarn in place.

Fuzz up the yarn ends and apply floatant as needed.

I like this technique because it is cheap, fast, and I can quickly move the indicator up and down the leader to adjust for differing depths of water.

Move the indicator slowly so it won't kink or curl the leader.