I usually use Danville's Mono Cord, waxed.  It is a little tuffer than regular tying thread.  But I also use Uni Thread #6/0.  I also use clear finger nail polish for the glue.  It is tuffer than head cement and puts a protective coating over the thread.

BPS, Cabela's

http://www.crafta.com/craft-supply-...thers.html

http://www.feathersmc.com/

http://lurepartsonline.com/cart.html

http://www.barlowstackle.com/jig-fishing.html

I hope this is a help.

Thanks Riverman!  BTW, check locally for a fly shop.  That is where I get the majority of my stuff for tying.