I like to use a heavier fly tying thread. It's very strong for its size and many ones is an oval shape so that it'll lay more flat. And it's on a perfect sized spool for using in a bobbin. This make it much easier when you want to bind down the fletching with thread instead of gluing them down. I've also just started using a pine pitch verdigris compound to glue down my fletchings and bindings. You paint on the warm mixture, let it cool, bind on your fletches, then reheat with steam. Melting the glue so that it flows over the feather quill and the binding. So far it's been working well.
Kyle