I just came across an article about making your own furled leaders. It is far and above any other how to articles that I have seen It can be seen in the Hatches Magazine which, by the way, is a most excellent fly fishing resource.
However, even with this excellent article along with the remarkable pictures, it still remains a challenge to make those furled leaders. None the less, check out the article "Making your Own Furled Leaders" by Breck Miller, and give it a try!