If you plan to wait this fly do so first, then tie in your thread. I'm using 6/0 black here, but essentially any color will work. The wire I use for this fly is copper, but whatever you use be sure it won't slip on the hook. If necessary put a little flexament or super glue on it.
For the tail tie in six to ten mallard flank fibers, here they are natural. To match darker bugs use wood duck or dyed mallard flank.
Dub the leangth of the hook shank with your chosen fur. I'm using creamy yellow 'possum. Dub loosely and pluck out to get a good fuzzy body too imitate the gills on the sides of the body of most swimmer nymphs.
For the wing case tie in and clip the same fibers you used for the tail. They should be a third of the length of the body.
For the legs use the tips of the mallard flank, five or six on each side. If you are fishing this fly during a hatch, leave legs out altogether because the naturals tend to hold them tight to the sides of their bodies.