Short answer: loop to loop connection!
You need to add a piece of mono to the fly line and put a loop in that. Then, add a loop to the butt section of your leader (most leaders you buy come like this already.)
Here's a very good explanation of what I'm talking about:
Gary Borger » Perfection Loop and Connector
Check this out, too.
http://www.redchaser.com/looptoloop.htm

