You are right, you do not HAVE to have the leaders, but I do suggest using leaders. You can make them yourself, I did my first set. Yes they are expensive.
One of my complaints is that there is not a lot of information out there on these pieces of equipment. For instance, the leaders did not come with a set of instructions. And I felt like I needed some help with them. So I looked at the company website and I looked online..... Not much help there either.
Perhaps I can do a better pictorial and turn it into a PDF and post it somewhere where people can get more help with these things. I will see if my friend who visists with me will help me put something like that together. She is good with video as well, so maybe she can help me put something together like that too.