Like many steelheaders (and more than few steelhead), I find the look of a cone head leech pretty dang appealing. And for years I tied cone head flies as a staple of my winter box. But I found myself consistently burning through the heavier sizes faster than the lighter sizes, leaving a box-full of lightly weighted flies when I needed a heavy one.
These days, I only tie unweighted leeches, and I add the cone on the river, allowing me to tie fewer flies and fine-tune my weight with more precision. Here's a picture of one of my fly boxes. Notice the rows of cones; the ones on the left are tungsten, the ones on the right are brass, and the ones on the bottom are lead--all in three sizes.
Now I select a fly, then select a cone that perfectly matches the water, thread the leader through the cone, and tie the fly onto the hook.
I do still tie some flies with barbell eyes. However, I use the barbell eyes less to sink the fly and more to turn the hook to keep it from snagging. If the run is snag-prone, I knot on a barbell version of the fly, then add the appropriate cone.