Yes, you tie the thicker end of the leader to the butt section of mono that should have been tied to your fly line coming out of the reel. I would recommend purchasing some tippet. Find tippet of the size you want and tie about 2-3 feet onto the end of your leader. Then tie your fly onto the tippet. This will serve two purposes:

1. Saves your leader as you change flies.
2. Gives you a little more distance between the fly and the fly line.

Other than that, just go get your hands dirty. I have a good pdf document with knot instructions if you are interested. It's too big to post here, so you need to send me an email and I'd be happy to share it with you.

Cheers,