Here is a step by step about how to tie a midge emerger  using Agostino Roncallo style. Agostino is a great  Italian flytyier who published a few  beautiful fly tying books and many articles.

Materials:

Hooks: D910 Daiichi #14-18

Thread: 17/0 Uni

first Body: Puf CDC

Second Body: peacock barbs and grizzly hackle

Wing: Grey Dun Wing CDC

And the step by step: