Agree with the colored poster board, just keep the background a distance behind the fly so it is not in focus (nice blurred background).
I just started experimenting with a new technique I found in some of the macro photography forums. If you are using a macro lens with a SLR digital camera, you can put the camera on a tripod with a f stop of at least 16 (more depth of field) and take a series of photos from front to back or visa versa with a focus point moving up the length of the fly (5-6 points seem the work fine) then use a program that stacks the images as overlays with a result of having the entire fly and hackle in focus. The program is a free down load called "Combine ZM" I will try to post a link if interested.
Lighting and White balance are also important. Try diffusing the light with white tissue paper or bouncing the flash to reduce shadows. This may be over kill for you but it works great.
Here is an example of the process: