I found this link very helpful when I was considering making my own leaders. You would think that building your own would save you money, but when it came down to it, I found a great deal on Dai-riki leaders at Sierra Trading post and ended up just buying them instead of all of the spools of line to make them. It probably still is cheaper in the long run to build them, but when I found tapered leaders with no knots for 52 cents, I bought those.
My other concern is that I use an bobber, I mean float, oh I really mean indicator on my leader and was concerned about all of the blood knots and slidding that pegged indicator up and down the leader. I just don't have the knack of fishing nymphs without an indicator and that was another concern of mine with knotted leaders. Once the indicator is pegged it would be a pita to slide and repeg.
Anyhow, here is the link with some great info for your consideration:
http://www.flyfishusa.com/tackle-tip...t-leaders.html
Rick