Mount a standard dry fly hook (Matt ties a size 18) and start olive thread, taking it back to the start of the bend.
Strip about ten dun hackle fibers from a medium dun feather and bind them in at the bend as a tail, at least one body length long and kept on top of the shank. The butts are short enough to bury under thread.
Advance the thread to about the 75% point and bind in a single strand of Z-lon yarn for the wing, longer than needed. Go straight into several tight wraps, take them back a short way to lock the strand, then snip the rear end off.
Take a few wraps in front of the wing to prop it up at roughly 90 degrees. The hackle wraps will fine-tune the angle later.
Return the thread to the tail, wax it, and spin on a thin noodle of dry fly dubbing. It takes less than you think; pull some off if the body starts to fatten. Dub a slim body forward to just behind the wing.
Select a dun dry fly hackle with barbs one to one and a half times the hook gap and bind it in just behind the wing.
Before wrapping the hackle, trim the Z-lon wing so it stands just slightly taller than the hackle will be.
Wind two full turns of hackle behind the wing and two in front. A fly this small does not need more to float. Lock with a couple of tight wraps and pull the fibers back to make room.
Whip finish quickly before fibers spring forward, snip the hackle stem, and clean out any fibers crowding the eye.