There are two ways to tie off a fly. The first is a series of half hitches and the second is to use a loop of thread(I use fire line).
The half hitches are best left only to small flies tied with fine thread, like silk. The silk thread won't pile up like 'a' or even '00'.
Use the loop in the same manner as you would to finish a guide wrap. Start with the knotted end facing the back of the fly. Make several turns of thread over the loop,going from tail to head. Then,holding the wrapping thread in place, cut the thread and put it through the loop. Now pull on the knotted end until the thread is all the way through. Cut flush with a razor and your done. It might take some practice but that's the fun part.