Idk what you're supposed to do, but I mix and match leader and tippet all the time. I'll use different tippet sizes together as well. I've read that you should use a lighter leader/tippet(6 or 7) for dries, little stronger for nymphs(4 or 5), and heaviest for streamers( 3 or 4). Of course there are half sizes and length of leader/tippet varies greatly depending on depth, rod weight, fly pattern, and skill level.
Lately I've gotten into the Trout Hunter brand of tippet and leaders. It's pretty tough stuff. I also tend to use fluorocarbon.