I've only used dry flies from a store on bluegills once, and I know what you mean about being rough on the flies. Since that "learning experience" I've started tying some modified dries for picky bluegills. Basically they're the same as regular trout flies, but with the following substitutions

* chenille instead of dubbing
* size 12 and up hooks only
* reinforce fragile parts like hackles with a few wraps of thread or a dab of glue before wrapping.
* mylar instead of metal for ribbing
* hair instead of feather for tails
* the heavy construction usually necessitates extra hackle and fly dressing

The reinforcement is far from fail-safe, but it usually helps my flies get through a few more fish. These ain't pretty flies, but they work.