Forgive me, for this is one of my peeves. This is wrong. Yucky! Nasty! Eww! Gross! Don't do this to your nice leather show leads!
The Correct Method
The maker of one of my nice show leads showed me this method because he cringed every time he saw an exhibitor treat his leads so roughly.
Step 1: Thread the collar loop through one ring of your show collar.
Step 2: Thread the other ring of your show collar through the collar loop on the lead.
Step 3: Pull the "free" ring so the attached ring slides to the end of the collar loop.
Viola! A smoother lead-to-collar connection, with less stress and damage to your expensive show lead!