James
I've been fooling around with furled leaders for a few years now. IMO the best all around material to make them out of is either .004 or .005 Nylon Quilting thread that can be purchased in the sewing department at Wal-Mart. This is especially true if you're going to fish light tippets for Trout. The thread leaders have little or no stretch to them, whereas the ones made out of the nylon thread will give a little (like a shock absorber) thus helping to protect a light tippet. If you treat them with Water Shed, they'll float like a cork.
Just my .02 cents.