The other posts seem to have the ‘making’ well covered. I’ll try the ‘using’…
I use my furled leaders for trout, and I like them fairly light with a heavy butt, 9’ long or 7’-6" long in 6X or 5X. I use a mono tippet section approx. 26" long that steps 6"2X, 6"4X, 18"6X. My leaders are made from UNI brand 6/0 tying thread.
For dry fly fishing I recommend treating your leader with floatant prior to fishing. I use a paste floatant such as Loon’s Aquel. I squirt a peanut sized globe onto my thumb and forefinger, then run the leader through several times. Twisting and untwisting the leader to work it well into the fibers. A well pasted leader will float all day. For a sinking leader use no treatment, or for a fast sinking leader use some ‘sink’ paste such as 'Xink". You can re-treat a wet leader, but it never seems to work as well as a well treated dry one.
I live in a dry climate, I have never had a problem with rot or mildew. I just leave the leader on the reel to air dry on the ride home.
I get about a years service out of a leader, replacing tippet sections as needed. I use a nail knot to place about 10" of stiff mono over my flyline, then I use a blood knot to attach the furled butt section. Normaly I would use 5 turns each side for a blood knot, for less bulk I use 5 turns on the mono, 3 turned on the thread butt. I’ve never been able to get a goot nail knot out of the furled leader. I like to use double surgeon’s knot for tippet to furled leader.
Remember that the furled sections will unravel if not bound by a knot. When I replace a tippet section I clip the old tippet just next to the knot, leaving the the old knot on the tag end of the furled leader. Tie on fresh tippet in the normal manner, but leave this knot in place until finished, then clip it off with the tag.
I experimented with many materials for leaders. My favorite is UNI 6/0 tying thread. It comes in a wide range of colors and has just the right stiffness/limpness for my style of fishing. Mono leaders are stiffer than thread, were prone to breaking during contruction of a 6X leader. Mono leaders didn’t absorb as much floatant. Probaly better for heavy leaders in the 3X 2X range.
I get few wind knots in my furled leader. It can be very difficult to remove a knot when it does occur. The worst case was when I got stuck way up in a tree and had to break off most of the tippet. The furled section bounced back a hopeless birds nest of twists.
I prefer to nymph with a tapered mono-leader. My local streams have a wide rnage of deopth and current, I’m constantly adjusting the stike indicator or cutting into a leader to change length. I find that easier to do in mono.