I have built lots, with a myriad of threads and lines, unithread 0/6 without a doubt makes the best leaders. It's available in tons of different colors, I settled on white as it takes on the color of the water your fishing fairly quickly. I found mono the most unsatisfactory for fishing, not sure what it looks like in the water, but from the surface it casts a lot of sparkle with all the fibres in it.
I gave up using them in lakes as I think they are more visible than a tapered leader. If I fished rivers I would consider them as they turn over beautifully, but in a lake it is not that important.
I use a dremel, when I spin in one direction and the a reversible drill for the other. A reversible dremel would really cut the time it takes to make one.
This is the jig I made, works slick.
http://www.furledleaders.co.uk/pdf/h...led-leader.pdf