I agree -- tying your trailing fly to the bend of the lead fly results in fewer tangles. I always tie the larger, heavier fly to the tippet first, then tie the smaller trailing fly to the bend of the lead fly with about 12" of tippet, and add weight about 12" above the lead fly.

One bonus to this method is that you can quickly tie an "open" clinch (or improved clinch) knot and then just slip it over the bend of the lead fly and tighten it down. Much quicker than tying a conventional clinch or improved clinch.