mgreeti/jjonas: I use the method that you suggested and jjonas uses and it works wonderfully.

ducksterman: It does depend on what knot you use and most are stronger than a surgeons loop. I use a triple surgeons knot at the leader end and an orvis knot at the fly and it's a coin toss as to which end the line breaks. When I was using a surgeons loop (double or triple), it broke at the surgeons loop over 80% of the time (most of the rest happened at JC's very helpful knot).

Quick math example.
Tippet 3 lb
Knot at fly and leader 95%
Surgeons loop/clinch/improved clinch 80%
3 X .8 = 2.4 lbs
3 X .95 = 2.85 lbs

By using better knots, I've just made my connection to the fly/fish almost 1/2 a pound stronger. I like that.