From Peter Fling & Donald Puterbaugh: The Basic Manual of Fly Tying
Simple Mayfly Nymph
Recipe:
Hook: wet / nymph
Thread: brown
Tail: soft hackle fibers- brown
Rib: fine wire (here light gold)
Body: brown dubbing
Thorax: same brown dubbing
Throat: same soft hackle fibers as tail
Wing case: small feather clipped and glued
. 
Fling and Puterbaugh suggest clipping a small feather and coating it with head cement to be used for the wing case. Or alternately, tie in the clipped feather and head cement / UV glue it in place after tying it in.
Lay down a thread base
. 
Tie in soft hackle fibers for tail the length of the shank
Tie in fine wire for rib
. 
Create a dubbing noodle and wrap the body to just past half of hook shank; tie off
Spiral wrap wire over body for rib; tie off
. 
Add a dubbing noodle thorax; tie off
. 
Invert hook; using soft hackle fibers like those used for the tail, tie in the throat; extend fibers from behind hook eye to hook point on underside of hook shank
. Turn hook right side up and tie in small clipped feather wing case
Whip finish; head cement
. 
If the feather was not glue coated prior to tying in, do so now