I only recently started using leaders and enders. I never seemed worthwhile to me before, but an instructor at a class I took encouraged us to use them (not to do a project, just to keep out stitching neat), and I now understand how it would work.
To use a leader/ender, you just have a couple chunks of fabric that you stitch onto at the end of your block (or set of blocks, if you're chain piecing), instead of cutting your thread. This keeps the start of your next seam from getting caught in your feed dogs, and makes it so there are no thread ends to trim on your blocks (which is why I'm now a dedicated leader/ender user).
A leader/ender project is just a second project that you do instead of using scraps for your leaders/enders. It could really be any piecing project, although I would tend to stick with something small, and in a different colour scheme from my main project (so I wouldn't get it mixed up). It actually seems like a very efficient method of getting a second project done, while reducing ends you have to trim in the first project.