Still, even with conventional lines, I prefer not to use a nail knot, simply because that method means you have permanently attached the leader to the fly line.
My favorite method - and one I have used since the late 1950s - is the whipped loop. It is made using stout fly-tying thread and a bobbin. See Practical Fly Fishing Knots, Lyons Press, for instructions on constructing this loop. Done correctly, this loop is stronger than the fly line and will last for years of hard use. The advantages of a whipped loop are many. You can change leaders easily. Because the end is rounded, it never catches in the guides. By installing a whipped loop on both ends, you can quickly switch lines on the reel. The whipped loop works in any fly line, including the monofilament types.