When I tie dries for panfish I use a strip of foam wrapped as the body. I do this with Elk Hair Caddis and It works great and holds well. I coat the foam in head cement to make it fold up better. I still have a white mayfly type fly that I did this on and caught probly 25-50 fish on and still good to go another round too.
Hope this helps,
Steven

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"Just when I've caught a nice trout and feeling very proud of my fly fishing ability, my feet fly out from under me and there I sit, wet, flustered and properly humiliated by the Fly Fishing gods."
Jimmy Moore, "Taken Down a Notch or Two"