Fishing with a Jig

[Turk]

Hello all, I am new to this fishing addiction and I am wondering if I am suppose to tie my line directly to the jig or can I have a leader tied to my line then the jig. I have been fishing the South Saskatchewan River with a pickerel rig last few days but want to try jigging as I have yet to catch anything (damn kid gets something everytime out and i cant take the ribbing he is giving me much more)