When mayflies,and other aquatic insects, hatch they shed their nymph/pupa skin in the process.They also have small airbubbles surrounding them when trying to break the surface film. This can often be a very important trigger to the fish. I think the key is to just give the fish a small hint of this element. The whole point is not to make it to firm and compact. I see a lot of flies tied to please the human eye,and not the eyes of the fish. The old skin is translucent and often it still carries small silvery air bubbles in or around it. Personally I think the best method is the one deviced by G. LaFontaine on his Halo Mayfly Emerger. To create this illusion he simply winds a few strands of antron down the hook shank. Be sure to wind them loosly,and never use to much. This has worked well for me in various hatching situations. The second method that I use is just a small amount of cdc hanging behind the actual pattern.