Spider web is used so that when you whip finish under the hackle, the build up of thread doesn't upset the hackle and skew them off the horiontal. It's not just for tiny flies. It's strength is pretty low though
I know some excellent tyers who change thread to SW to finish around the post. I personally do not and find that 14/0 Sheer (or Syntons) works fine.
I do not agree that 8/0 works for tying whip finishing around the post on small flies with a good, level parachute hackle.
Spinning thread is great, but whip finishing with a heavily-wound up thread is asking for trouble as you finish the fly: the thread can furl and cause a knot and / or break your thread.
Take a look here too:
http://www.riverflybox.co.uk/parachute%20emerger.html It may be of some use...
Just my thoughts...