Kais-
here is my set up- probably the easiest/simplist/cheapest/most effective
from your flyline create a leader by cutting approximately three feet sections of mono fillament; ~25 lb test, ~15 lb test, and 8 lb test.
Tie a loop (a double overhand knot is fine) in one end of the 25 lb. (that will connect to the loop in your fly line)
next tye the other end of the 25 to the 15 and then the 15 to the eight using blood knots (look up online if you dont know how to tie them).
Now tie a small yarn type egg pattern (I use a peachy collor- these can be purchased from just about anywhere or tied easily if you have the materials) to the end of your 8# line.
Next pinch three or four of the smallest split shot they sell onto the 8 lb. line about 12 inches above your egg pattern.
Finally, up around the mid point of the 25# line, attach an indicator (yarn ball or thingamabobber)- you have to buy these from the fly shop or if you knew what you were doing you can make them from a pingpong ball and duct tape.
I caght my first steelhead on this rig and it is still my go to set up many fish later.
Good luck.