My tip for leaders is to use a strong fabric. Pillow ticking material is recommended -- that heavier fabric with gray or blue stripes. Muslin is not sufficiently heavy. Hinterberg and other frame websites sell zippers for leaders.
There are lots of groups that deal with frame quilting. Try homequiltingsystems on groups.yahoo.com . That is a large, active group with members who have many different types of setups. It is more oriented to longarm and midarm machines, but all the information about loading quilts, leaders, etc. will be applicable to your setup.
Youtube is a really excellent source of information about leaders, floating the batting and top, etc. Here is a link to a recent video I watched that showed a different method for doing a small quilt on a frame (using basting spray, which is not common for frame quilting):
http://www.youtube.com/watch?v=tw3LqEi4_z0