If you don't want to spend $6 and upwards on a dubbin needle, which is very understandable, this is the instructable for you.
Step 1: Doweling
Get a thin piece of doweling, to your hand's preferred thickness.
Step 2: Measure
Measure a 3 inch section of dowelling.
Step 3: Cut
Score the doweling with scissors until you can evenly snap it.
Step 4: Sand
Sand the broken edge.
Step 5: Sharpen
Sharpen the dowelling in a pencil sharpener until there is a small flat spot left on the end.
Step 6: Stab
Push a tack into the sharpened end.
Step 7: Crack
Crack the dowelling. Don't worry, this is to help with the securing of the glue.
Step 8: Needle Time
Insert a large sewing needle, eye end first, into the hole.
Step 9: Glue
Squirt a small puddle if glue on a piece of scrap paper and roll where shown in the glue. Be prepared to wipe off excess.
Step 10: Wrapping
Once the glue is dry, use your fly tying skills to wrap the area where the glue has dried with thread.
Step 11: Cement
Use your head cement and generously soak the wraps. Once dry, clip the tag end. There. You saved some dough.