Like Charlie said, about the only way to lose a fly is in a fish. However depending on the distance from shore you are fishing, you could lose a few on your back cast in foiliage and break a few on rocky shores.
I agree with Smolt too, bring along an assortment of sizes, because the water conditions will dictate a larger or smaller fly, whether the river is high or low. Might not be a bad idea to pack along a few "short takers" or flies tied low water style. Good luck.