All you need is painted lead-head jig hooks, chenille, and marabou. These are inexpensive -- chenille and marabou are probably the two cheapest tying materials there are. This is actually a lure you can tie and save money over all but the cheapest store-bought jigs. I think I figured out that one my early batches cost me a quarter apiece. You can buy woolly jigs that cheap, but they are just that -- cheapo -- and they're not really "yours."

Here's my recipe. It's ridiculously simple. Tie in your chenille and marabou just ahead of your hook bend. Secure it with 6 or 8 turns and tie it off. Place a drop of fast-penetrating head cement on the knot. Walk your thread up to the lead head with wide but tight wraps. Throw another knot in the thread and place another drop of head cement. Wrap the chenille tightly forward and tie it off with the thread. Trim away the chenille and tie down the tag with 4 or 5 turns of thread. Whip finish a few times and add some head cement. Next... oh wait that's it. Is that really considered a recipe? Oh, there is one more thing -- shape the marabou tail to your tastes. Remember, it's always better to trim marabou tails by pinching and tearing if possible, rather than trimming with scissors, just be careful not to pull it out.

You can make jigs that are more natural than the store-bought jigs by blending your marabou colors, using other materials (like bunny strips), and using dubbed thread instead of chenille, but the process for tying them is basically the same.

I go a little further by coating the painted lead head with clear fingernail polish. I let the polish soak down to the thread and chenille at the head -- this sort of seals up the fly, protects the painted head from abrasion, and makes my jigs last longer.

If you want to be really hard core, you can get the unpainted lead heads and paint them yourself. I don't do that. I just get the pre-painted lead-head hooks, but one of these days I'll give it a try.

EDIT: Hey, I just took another look at your Cabela's jigs, and I realized that those jigs are just marabou -- no chenille body. So, basically, it's just tying in the marabou at the head and the "body" is just a built-up thread finish. So, even easier.