My setup (Voyager midarm with Hinterberg stretch frame) came with leaders already attached, so I didn't have to deal with that. From what I can tell, my leaders are made of unprimed canvas (comes on rolls from a place like Dick Blick):
http://www.dickblick.com/products/fr...-canvas-rolls/ . She finished the edges with a serger.
I haven't seen good instructions for making leaders. If you haven't already, I would join the Yahoo group for Grace frames:
http://groups.yahoo.com/group/GraceMachineFrame/ and ask there.
Attaching the leaders to the rollers is a study in itself. The previous owner of my frame attached the leaders with duct tape, which is a popular solution. They don't last forever, though, and I can see where mine are eventually going to give out. If I had to do it myself, I would research using double-sided carpet tape to attach leaders. Also, I read that using a laser light beam is an important aid to attaching the leaders to the rollers evenly.
I added zippers to my leaders to avoid having to pin. I chose this solution over velcro because I read that velcro attracts lint and loose threads like crazy. Since my frame is not in a semi-sterile environment (and I am messy!), I figured velcro would not be a good choice for me. I have read that the red snappers can be difficult for arthritis or older hands like mine. One person solved that problem by making her leaders long enough so that they could be flipped onto her panto table; that way she could place her entire weight on the red snappers. I sew my quilt pieces directly onto the zipper tape because I am lazy and it works well for me; most people add short leaders to the zippers and sew to the leader rather than directly on the zipper tape.
I Googled to find a couple of tutorials on adding zippered leaders. They were helpful. I got my long zippers on Amazon, I think from zipperstop (they also sell on eBay). One thing I did wrong was to sew my zippers too deep into the leaders. They should be more on the edge so you cannot inadvertently quilt right through the leader. (I solved my problem by basting the excess leader fabric under so it does not get caught in my quilting. Some day I will remove the zippers and re-attach properly.)