I learned this knot years ago when I started fly fishing, and have used it ever since. I've never had one come apart even though it's simply a pressure knot. Here's how to tie it. You'll need a loop in the end of your leader for it. I've created a rough diagram of it to help.
1. Hold the leader loop in your left hand between your thumb and forefinger. You should have only half of the loop exposed and the other half between your fingers. This is very important so the loop remains flat.
2. Pass the fly line up through the loop and over the side of the loop nearest you (represented by the red line going under the end of the loop and then over the side).
3. Carry the fly line under the loop to the other side (blue line).
4. Without allowing the leader loop to turn, bring the fly line over the top and pass it between the original line (red) and the leader loop. Pull on the line end of the fly line (NOT the tag end) until the line cinches tight. Make sure the leader bites a little into the fly line so it stays snug. I usually make sure it cuts through the plastic a little bit.
5. Trim the tag end of the line.
I've never had one of these come loose, even on big fish or trying to free my fly from a snag. The knot holding the fly to the line is always the first thing to break! It provides a super low silhouette going through the guides, and wastes a minimum of fly line. You can easily get by with only trimming 1/4" of tag end each time you tie a new leader on since it's really easy to get this precise with a little practice. I've never tried it on saltwater because I think that a big saltwater fish might just pull the knot so tight that it would cut right through the fly line. But for freshwater, 17 years of fly fishing and not a single problem!