Are you talking about inbetween steps, or finishing the head of the fly? There is the "halfhitch" knot between steps. I always do this to keep a section from unraveling either between tying steps or if a fish shatters a fly. When I'm finishing a fly, on the head I do a whipfinish. If you've ever wrapped oars, it's similar. You basically wrap the thread over itself to finish up the head. That way their is no tag hanging off head of fly. If you're in/near the Tacoma area, I'd gladly show you how to do both knots.