I got another source for good yarn today, I went to longs drugs and in the knitting/craft department they had "J.P Coats Embroidery Floss" made of 100% cotton. It comes in little 8.75 yard cards. Here is a pic of it: I think it may be a good substitute for Punch embroidery yarn. Cost was only $.39. They had very many colors available.
And here is a Fly tied with it:
Hope it helps