Shane!
I agree with you. Caenis is often too thin for larger scales.
I keep some copper-thread (ultra fine) with known thickness for comparison. Then I calculate thickess like this:
Flagline: ca 1 cm : scale = thickness. (here I think the caenis is quite suitable for your Arizona).
Antenna thread: Same
General rigging: 2cm
Supporting cables: 3-4 cm
You are probably more used to inches, but I guess you get the point.
THEN, I use stretch sprue. I'm not warming and fastening before pulling like Jim B does, I simply warm the sprue using a candle. When it is warm and soft, I pull apart - with both hands. First carefully untill I get the thickness I want. Then a quick (not too quick) pull till your arms are stretched. And you have a thin thread. More heat - thinner thread.
I guess a good supply store can get you copperthread or something simillar for comparison.
I great advantage with the sprue is that if (when) you should happen to put you hand right into the web... Only the sprue will break, compared to caenis or nylon that often will break antennas and masts.
Takes some practice to get used to, but it's worth it!
Stein
