Start with the short and work to the longest. Always wrap the shank of the hook with thread where you're going to be tying, otherwise the whole shooting match will spin on you at some point. (Usaually after it's tied off and you're fishing wth it...) I put a bit of thinner in Sally Hansen Hard as Nails nail polish. This assures full penetration of the threads ater the fly is all wrapped. The way I tie on each layer is a few loose wraps of thread, then I fuss with the bucktail and get it the way I want it. Then a few tight wraps in front of the loose wraps. Trim and then do the next layer, repeat the process.
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