Slide a tungsten bead on, seat it at the eye, and start yellow thread behind it so the bead cannot rotate.
Wind down to the bend and tie in a short tail of Coq de Leon Pardo about half a shank long, sparse and stiff so it holds its shape wet.
Tie in a strip of small Nymph Skin at the bend and take the thread forward to the 70% mark, building a slim yellow underbody as you go. The yellow is meant to glow through the skin in the water.
Stretch the Nymph Skin and wrap it forward in overlapping turns to the 70% mark. Stretching thins the strip and tightens the segmentation; wrapped slack it goes fat and dull.
Dub a short thorax of yellow Mad Rabbit behind the bead, just enough to fill the gap, and pick a few fibres out each side to suggest legs.
Whip finish behind the bead and keep the whole fly slim. A baetis nymph is a fine, streamlined swimmer and a chunky imitation reads wrong at a glance.