Materials do matter for dry flies (or wet). I don't think most flies float due to buoyancy (foam and deer hair (deer hair is hollow) flies are an exception), they float due to surface tension. Therefore, the question is more of are they hydroscopic (pick up water) or hydrophobic (repel water). Of course we can put floatant on to seal a material, but better designed dry flies use materials that repel water naturally. Matt Grobert doesn't use floatant and likes to design dry flies using only proper materials. Of course using lighter materials doesn't hurt. Also, IMHO the thread matters less than the dubbing, hackle, wings and tail.
Synthetic dubbings are all the rage these days, but chopped silk dubbing is very fine and picks up very little water and makes a good dry fly dubbing. However, it is translucent and looks darker when wet or with floatant on it - synthetic dubbing hold their colors better IMHO. On the other hand, real wool yarn picks up water and is a good wet fly body. Old school tiers like dubbing from aquatic animals (beaver, muskrat, etc) since they had natural water proofing oils and the waterproof oil is half the story for the buoyancy of CDC (the fine structure that traps air bubbles is the other). Stiff rooster hackles don't take up much water; soft hen hackles do. Therefore, the stiffest, glassiest looking rooster hackles are used for dries and the softest hen for wets. Of course you can add floatant to a wet and it will stay in the film - a deadly tactic some days.
Given time, all fly materials will pick up some water so only the foam ones float forever. But using better materials will given your dries more time on the surface.
