Best advice I could give is learn how much tension it takes to break the thread, then back off just a touch from that; you'd be surprised how hard you can lean on it. Also consider how much material you're using at any one application - stuff like squirrel hair is really slippery and you're better off using just a little bit. Deer/elk hair wings on flies like an Elk Hair Caddis - you may want to start with the material on the near side of the hook and allow thread torque to pull it towards the top; like Wayne said, it's a "feel" thing that you get from practice. Don't throw anything away - ugly flies will catch fish.

Regards,
Scott