Thanks Paul. I have some Mason fishing line and it is quite flexible, I'll try the leader material if I can find some. I got the pictured line in the fly fishing dept at a Gander Mountain store.
Dan, yes that is all it takes to assemble it. After the heat shrink cools, pull the line slightly, if it moves, reheat again. The key is to not use too much heat too fast that it will affect the line.