The jury is still out for me, after a couple of seasons using furled leaders I have now gone back to knotless tapered mono leaders and seem to be having more success in tempting wary fish to the surface. But of course that may be down to my general lack of casting skills!
With furled leaders I sometimes attach them permanently. First I strip an inch or so of the coating from the tip of the fly line and make a loose overhand knot in the core. I then pass the butt of the furled leader through the knot in the core and pull it a little tighter. I then make a three turn uni/nail knot around the fly line with the leader and ease it down to the knot in the core before applying full pressure to both knots. If you get it right the turns of the leader's uni knot should (just) slip off the coating of the line and sit snugly against the knot in the core. To finish I trim all loose ends fairly close and push a short length of red shrink tube over the whole knot and shrink it down, nice and neat!
SF