Pat Dorsey uses yarn indicators with small dental rubber bands as WT suggested. Blue Quill Angler used to sell strike indicator kits that included the yarn and small dental rubber bands. If you use a dental rubber band, you first form a loop in the leader, then slide the rubber band over the loop, then fold the loop around the rubber band 4-6 times, then place the yarn inside the middle of the loop and snug the rubber band up tightly to the base of the yarn.
They also sell replacement rubber bands: http://www.bluequillangler.com/Produ...-Indicator-Kit
Without the rubber bands you can try one of these methods:
Rigging Yarn and Dry Fly Indicators | MidCurrent