They make a material marketed specifically for tying eggs, but almost any tightly weaved yarn can work. It helps to have a rotary vice so you can spin the fly around as you trim it to shape, but it isn't necessary. A good eye & a steady hand is about all it takes. If you can tie a clump of yarn onto a hook & know how to work a pair of scissors, you can tie up eggs - & be catching fish in no time!!
So, if you hit the water this winter to get a trout-'fix', you should really consider tossing an egg pattern at them. The bright colors they can be made from make them very effective "attractor" patterns. They are simple & they work.
Below is a very quick, direct video showing you how easy it is to tie up an egg. If you haven't given these a try for trout before, do yourself a favor & give them a go. You'll be glad you did as you're landing some early-season trout.