Traditional cone mounting

This is the more traditional way of finishing a cone headed fly. Tie the fly solely on the thicker outer tube. Finish it with wing and hackle and as small a head as possible and slip the inner tube into the cone and into the outer tube after having melted a collar to keep it in place. You will need to glue the inner tube inside the outer using instant glue.
You can also choose to let the inner tube go all the way through the outer with a collar in each end, in which case you melt a rear collar, slip the inner tube in from behind, mount the cone in front, trim the tube and melt a front collar.