I've been trying a 40 lb fluoro leader to each jig, 3 ft long. Then a snap and a bead for terminal hardware on the depth hunter braided main line. The stiff leader is important to keep the jig standing off the main line as it drops. Without the leader, you'll get tangles.
As to whether the leader can be connected to the jig via a snap or split ring, or tied directly to the jig, there's a bunch of opinions. The connection will affect the action of the lure, direct tie probably gives it the most most active presentation. Maybe. This isn't a science lab.
I started out with a couple of Shimano jigs and direct tied them, then acquired more and kept the same process. Using a split ring to a fluoro leader tied to the main line sounds good, but right now I couldn't be arsed charging it all. Maybe a winter project.