Are you talking about a leader that you attach your roving to? I use any old yarn I have about. I started with acrylic when I first started spinning, but I've since replaced most of it with hand spun yarn.
Are you wanting to attache it to a spindle or bobbin for a wheel? For a bobbin, I cut a piece of yarn twice as long as I want my leader, tie them together with a square knot at the ends, then use a Lark's Head knot (aka Girth, Strap, Cow, Lanyard Hitch) to attach to the bobbin.