They can sometimes be effective, but not always. Some flies can easily bite through the holes, and you have to remember that a lot of them are after the areas with a lot of blood vessels ie the neck, which is often unprotected. I know some people swear by feeding their horse apple cider vinegar/vinegar to keep the flies off, and you can also buy Fly Predators if you're up to it. I'd say buy a fly sheet to see if it works for you, but don't go out and buy 3 until you are certain it is effective for your horse.
"The trouble with the world is that the stupid are certain and the intelligent are full of doubt"