Ok so here is a SBS of the mayfly nymph.
Materials are as follows;
Hook: Mustad 0111 curved nymph/dry or any curved nymph hook size 10/12 dependent of the size of your mayflies.
Tail: Brown goose biot
Body: Translucent nymph skin
Gills: Organza ribbon light brown
Wing buds: Dark brown/black goose biots
Thorax/head cover: Translucent nymph skin
Under body: Cream dubbing, I used antron dubbing (wapsi I think)
Legs: Cream/tan flexibody sml
Take your hook and place it in the vice, I am using a Mustad 0111 curved nymph/dry size 12. I am using Moser powersilk for thread, run the thread down the shank to the point where the tail will be. Tie down one goose biot, this will be the centre tail.

Have two more biots ready, also prepare your ribbon as you will need it when your wrapping the body. Tie in the nymph skin by the corner and complete one turn around the biot at full stretch.
On the far side trap in a biot with the nymph skin, continue round the shank and tie in the other biot on the opposite side.

Continue wrapping the nymph skin up the hook shank decreasing the tension over a couple of turns maintaining around half stretch for most of the body. Experiment with the tension, until your happy with the results. (I have wrapped the body so you can see what it looks like)

Two thirds along the abdomen, trap the end of the ribbon with the nymph skin, you want the ribbon to follow the nymph skin with the edge of the ribbon so that it covers the thick edge. Wrap both ribbon and nymph skin for around four to five turns. Tie down and trim excess off.

Take your thread back to where the gills finish, tie in two biots either side of the thorax, these are the wing buds.

Tie in a short length of nymph skin for the thorax cover, tie it up to where the wing buds are, dub some cream dubbing on. (Look at the finished fly for the proportions of the thorax and head.) Take the thread back to the middle of the dubbing tie in two bits of flexifloss Velli Auti style. If your not sure how to do this take a look at Oliver Edwards tying the Heptagenid nymph in his essential skills DVD, this is how to tie in the legs. There were some on youtube but I cant find them anymore otherwise I would add a link. Trim one of the legs off leaving the backward facing ones. Tie in the thorax cover where the dubbing ends, and continue tying it down towards the eye.

Dub a small ball of dubbing for the head, pull the nymph skin back over and tie down, fill in the rest of the thorax area with more dubbing and tie in the front set of legs just behind the head, don't trim the spare legs off but pull them back to where the main thorax has been tied down and tie them down there, pull them about a bit until your happy with their positioning.
Finally pull the nymph skin over the last part of the thorax, whip finish and trim the thread.

The legs are kinked using a hot tip cauterizer and trimmed to length.

Colour using a dark brown pen, apply along the whole length of the fly and then wipe a yellow pen down the middle leaving the dark brown at the edges.