When I used to use the hand-tied leaders as instructed by Gary Borger, which resulted in a 6 to 8-inch tippet to the first fly, I would attach the shot just above the tippet knot where it would stay. I have since moved on to 'spun' (similar to furled, but not quite the same...) leaders which are a bit different at the terminal end, and I now use a weighted 'Rubberlegs' fly as the top fly and the weight to get it down, followed by my other nymph offerings.
I, too, used the Dinsmore shot and loved it, both because I always used the non-toxic, non-lead shot as well as using a selection of sizes to get pretty specific for depth and speed of drift.
As of changing to using a different method, with no shot, I haven't noticed much of a change, in fact, I feel like I can detect the strikes much better due to my present setup.
Kelly.
Tight Lines,
Kelly.
"There will be days when the fishing is better than one's most optimistic forecast, others when it is far worse. Either is a gain over just staying home."
Roderick Haig-Brown, "Fisherman's Spring"