I usually wear a leash, unless I forget it, then I just paddle out. Problem is, takes me at least two times swimming after my board to change over to a "I'm not wearing a leash" mode. Just habit, like putting in ear plugs and on sun screen. However, the guy who shapes mandala boards surfs were I do. He rides some 5 and a half foot round nose, planed down, chopped in half long board with two fins (actually his designs are brilliant, check him out:
http://www.mandalacustomshapes.com). I've seen him lose his footing once in the 9 months I've been surfing this break. He didn't even glass a leash plug into that little board. Some people can pull it off.