I like cutting them myself just because of this, some situations ask for a really short head, others for a longer one then you might get if you bought a ready made one. I'd say get a WF or DT line two or even three sizes heavier then your rod is made for and start experimenting. I prefer the WF as you can play around with the taper a bit but you'll usually only get one head out of a line in stead of two with a DT line. Using mill ends or slight seconds is perfectly fine for this IMO, especially if you aren't sure of the weight you want yet and need to do a bit experimenting first this will help keep the cost down. For shooting line I prefer regular nylon but also have both Hardy and Loop shooting lines which won't cast as far but can help deliver a fly a bit better. Hope this is of any help.
If you want to look at ready made shooting heads I have the Loop system for my spey rod and think it's really nice.
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