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Like was said above you can go nuts with fly line and leaders but the fact is in salt water up here you really don't need all that fancy stuff. You can do it if you want to but I just peel off a 6' of either floro or mono leader material and do a non-slip loop in the end that goes to the fly line (loop to loop connection) and a non-slip loop around the fly. When I want to change flies I cut it and retie
IMO Unless you are a fly purest just tie it up straight that stepping down process seems overkill to me but it does look cool. You can also buy tapered leaders but again they are costly.
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