As a preference, I tie my own with the Maxima material from a German company (Meinel KG). The knots really dont make a difference. The heavy sizes are quite stiff and the lower sizes are very limp and that is what you are looking for in leader material.
I use a barrel knot to attach them to each other.
I use the needle knot to attach the butt section to the fly line which is about 10" to 12".
If you would like to try constructing leaders, here are a set of proven leader formulas.
5X (9.5 ft.) 6X (9.5 ft.)
20" .015 (15 lbs) 20" .015 (15 lbs)
20" .013 (12 lbs) 20" .013 (12 lbs)
20" .012 (10 lbs) 16" .011 (10 lbs)
12" .009 ( 6 lbs) 12" .009 ( 6 lbs)
18" .008 ( 5 lbs) 12" .008 ( 5 lbs)
22" to 28" .007 ( 4 lbs) 12" .007 ( 4 lbs)
22" to 28" .006 ( 3 lbs)
Leaders have a "tippet" section which is at the end of the leader where you tie your fly. The tippet is usually a soft limp two feet long piece of monofilament. As this tippet is used up, it can be replaced by tying a new piece of tippet to the end of the tapered leader using either a barrel. It is sized in an "x" size system. To convert the "x" size of a leader into thousands of an inch, subtract the "x" size from 11. A 6x tippet would then be 11-6 = 5, or .005 inch. Note that the higher the "x" number, the smaller the tippet. Tippet material and leaders are sold by "x" size rather than strength, the strength of a given tippet size will vary from manufacturer to manufacturer. The size of the tippet you should use is determined by the weight and bulk of the fly you want to cast. A starting place is the "rule of three". Divide the hook size by three and you will get the "x" size of the tippet. For example, the tippet for a size 12 fly would be 12/3 = 4, or 4x tippet. This rule of three is why the "x" sizing for tippets has survived to this day. Copyright 1995 by Henry Kanemoto.