I use shooting heads for about 90% of my fly fishing and I have several methods of attaching them....
....depending on the actual shooting line...
First, is I buy the Rio shooting heads as they already have a loop formed in them..so its easy to to a loop to loop
Second, if i am using a head that needs a loop formed, I use a braided loop (Extra large from Rio..but thats because I am using 10 weight heads). I use three bits of shorter tubing rather than one long bit, and add a touch of glue between them. Been doing this for about 7 years now and never had one fail. It does not stiffen the line too much this way.
Third, I do have 2 floating lines that I peeled back the outer, doubled over the core and whipped it. I then applied epoxy to make a smooth transition. What I ended up with was 2 inches of still line that rattles through the rod rings
However, you cannot use this method on "slime line" intermediates.
The type of shooting line makes a HUGE difference to the cast. Because i am fishing for Pike using heavy gear and i am expecting big fish, I found standard shooting lines to cut my fingers badly (Amnesia, Corba etc) so I looked for something a bit thicker. I switched to hollow nylon braid that is a bit kinder on my fingers when double hauling. This allowed casts almost as far, but I had better control over it. However, like normal nylon its prone to tangles if windy. Both of these lines can be attached with a grinner knot to the loop in the head..or..the hollow brad can be slide onto the shooting head if it does not have a loop...and secured like the braided loops.
I now use a running line from Hardy, which Andy Murray put me onto. Its like a very very thin fly line in feel, is orange and it floats. Its designed for salmon fishing but suits me perfect. You lose some distance, but you gain much better control in bad weather, plus for me, the fact I can see it when a big fish runs is a bonus! I use a braided loop on this too..so I just loop to loop the various heads to the line and away i go. I just carry the heads coiled up in my pocket
Hope that helps a little.