Anthony,
You might try coating the head of the fly with super glue. I have used Loctite for 4 or 5 years with excellent results. The superglue is very thin and pentrates very well. It winds up fusing threads and materials together. Flies last a long time when the superglue is used in place of head cement.
You might want to take up fly tying. You'll be able to create flies at a fraction of the cost of those which are commercially available. Besides its a lot more fun catching a fish on a fly that you tied yourself.
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