Here is a website dedicated to why we do not EVER wear leashes when kiteboarding:
http://kiteboardleash.com/

When I was learning I got some tips from the now infamous Jeremy Green at Jupiter Kiteboarding. Jeremy was one of the original test dummies for the kite surfboard leash system. Luckily he was wearing his helmet in the keys when his leash snapped back and the board cracked him upside the head, cracking his helmet in half, and giving him several stiches in his head. Without the helmet, well you get the picture...