Tie the chenille in at the head instead of the tail. Then run your thread down to the tail. Wrap the chenille around the shank, then wrap over it a few times with the thread when you get to the end to hold it in place. Run the thread up to the head and wrap the body as you normally would. Use as many layers as you need.
If you're using a more expensive chenille, use a cheap chenille for the under-layer(s) and tie in your good chenille for the final wrap.