This got me curious. Found a site that purports to "rate" all of the soft lead/tungsten products out there. One man's opinion, but at least it seems to provide a list of all the types a guy could try, plus a history of the old Shape-A-Wate brand. Interestingly, it names the Ligas, the Hareline, and the Orvis as the best currently out there, the Loon as the worst. All opinion and method, I guess.
http://oneflyfisherman.com/lead-weight-for-nymphing/
One thing I forgot to mention above is that the tippet has to be dry to get any of it to stick well, and that wetting the fingers to shape it once it's on the line will alleviate some of the unwanted stickiness.