C&F Fly Threaders work great. You can use them on stream, or load up a threader with several flies ready to attach to tippet. I often use them with small flies that have material over the hook eye.
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They have one problem, the wire is very thin and gets bent easily. If you use them with a C&F Threader box, they are much better protected. I've tried some DIY threader holders, but they don't work nearly as well.