Have you tried a furled leader made from Coats & Clarke 100% Nylon Quilting Thread? It comes in 2 different diameters ( .004 &.005) and 2 different colors ( clear & smoke). I have made up several of these for folks who fish mainly dry flies and they seem to like them plus they would not soak up any water and they make a really small diameter furled leader.

You can find this material at any store that sells sewing threads like Hobby Lobby, JoAnn's and some Wal-Marts.