Why not try Spirit River's new Tungsten thread? I saw this at the FTDS in New Orleans. It should be perfect for your needs on small flies such as 18 or smaller Zebras.

http://spiritriver.net/new-products/tungsten-thread

The Spirit River web site says: "Our new tungsten thread is extremely fine, strong and works well for tiny nymphs. The x-fine will tie down to a 28 and the fine is good for 12 through 20. This material is an actual wire but can be half hitched and adds a surprising amount of weight on smaller flies where lead creates too much bulk."