There is most likely an infinite number of ways to setup an area in your fly tying room or dedicated fly tying space to photograph your flies. Light boxes come in a myriad of styles, from home made to professionally designed that come all inclusive with lights and even a small mount for the camera.
There are time that I will use a professional type of "studio in a box" for photographing some flies, like the one shown below. Its the American Recorder SIB-101CS Photo Studio-in-a-Box i purchased a few years ago.
My other setup for fly photography is just a simpler version of the "studio in a box" shown above and allows me to photograph flies as I tie them or "step by step" style.
The above setup is pretty crude compared to the "studio in a box" setup but it works best for me.It is conveniently positioned on my tying table, i can use my "Daylight" brand tying light from above and a Home Depot clip on light with a "Daylight" bulb lighting the subject from below. The vise is allowed to stay on my tying bench. No moving the vise to the alternate location. The background is a gray colored Tiemco Hook File box that i purchased long ago. Raised up by a couple of fly boxes or books, it is elevated perfectly. I can also tape different colored sheets of parer to the hook boxes for different colored backgrounds or effects. My Pentax Optio W30 at 7.1 megapixels, is more than enough for fly photography. Mounted on a SLIK tripod, it is portable and can get in close for macro or manual focus photography.
In conclusion, there are even more elaborate setups than the ones I use and probably even more simpler setups too. Find the one thats best suited for you and start photographing your flies.