There are various types - but I actually use a length of light rope attached to the ski with a stainless steel clip and to the paddle with a loop tied in the end of the line. Simple & effective.
There are commercial paddle leashes available that attach to the paddle with velcro; the leash itself is coiled plastic.
Some guys use a length of bungie cord.
Whatever solution you use, it should be light and should not get in your way - so don't make it too long.
If you're going offshore, it's arguably more important for YOU to be attached securely to the boat with an ankle or body leash. You don't want to be attached though when you're going through surf, as you can injure yourself.
The primary reason for using a leash is to prevent the ski from being blown away from you.
Good luck!
Rob
Currently Epic V10 Elite, Epic V10 Double.
Previously: Swordfish S, Evo II, Carbonology Zest, Fenn Swordfish, Epic V10, Fenn Elite, Red7 Surf70 Pro, Epic V10 Sport, Genius Blu, Kayak Centre Zeplin, Fenn Mako6, Custom Kayaks ICON, Brian's Kayaks Molokai, Brian's Kayaks Wedge and several others...