For the rig you have linked the video for the lead sits in a clip you cant see it in the video as the tail rubber is slid down over the top.
The rig in the video basically constructs like this, thread a length of tubing (weather that is anti tangle or tungsten based) on to the main line, follow that with a tail rubber and then the lead clip, attach rig. The lead clip will slid onto the swivel the better ones come with a peg to fix the swivel in place to aid lead ejection, place lead in the clip slid the tail rubber over the clip (how far you push it on depends on how much pressure you need for the lead to come off when snagged), push the tubing into the tail rubber and your done.
Make sure the length of tubing is longer than your rig and then a little extra to help stop tangles.