There are tons of tricks of the trade but here are a couple of techniques that I use when tying in my chenille.
1) When I'm ready to start tying in my chenille I'll first lay it on top of the hook shank with the tip of the chenille up against the jig head. Then I'll pull the chenille back just a tad. This gives me a subtle gap for when I'm finishing off the chenille with my whip finisher.
2) Once I've run my thread from the jig head over the chenille and I'm down to my tail material I'll put 2 or 3 really tight turns of the thread at the point where i'm going to start wrapping the chenille around the hook shank. Before I run my thread back up to the jig head, I'll pull the chenille forward and run 2 really tight wraps of thread right up against the butt of the chenille between it and the thread base/tail material. This really anchors the chenille both on top and right behind.
3) Now I run my thread back up to the jig head and wrap my chenille up to the jig head. Now it's time to get the chenille ready for finishing. Holding some tension on the chenille, I'll wrap the thread tightly around the hook shank binding the chenille up against the jig head and to the hook shank. Then I will pull the chenille away from the jig head just a tad and give the thread 2 or 3 really tight wraps. Again you're just 'pinching' the chenille down ensuring that it won't easily come unwrapped.
4) Using a whip finishing tool I give it three tight wraps and finish and then repeat. Sometimes I'll add some 'hard as nails' and sometimes I won't.
Hopefully these tips have helped some!!