I don't make my own, but I've acquired a few over the years from those who do. All the ones I have are made from thread, and what I do each year is treat them with floatant. Initially, with Water Shed. I picked up a really good floatant, made by the owner, at small fly shop in Waitsfield, VT last year. I treated the leaders I was using and it kept them floating the rest of the season. I've never treated any mono or fluorocarbon furled leaders with floatant. I use them mainly with my intermediate line.
I use clear polyester thread for a lot of my fly tying these days. Not sure it's Coates and Clark brand but found in the same area in the craft stores. C&C also makes metallic thread, I have gold, silver, copper and pearl, that I use in fly tying for bodies and ribbing.