Unless you are in some heavy waves and your board tombstones hard--it's impossible to pull yourself up your leash. You're more of a piece of bait behind a trolling planer at that point and fighting it will only make it worse. If you don't know what I'm talking about, just tie a ski rope around your leg and get your friends in the boat at the other end of the rope to go just a couple mph and see how "easy" it is to pull yourself up the rope.
Just get used to waiting patiently until you can get some traction in the water, then focus on getting to the surface.
Erock, I don't think Staystoked meant that you should pull yourself up by your leash, I think he meant just feel for it so that you can get a sense of direction if you are under water and disoriented.