(not sure what to call it) but like a quick release item that I can interchange my lures
That's called a snap. If there's a swivelling section with it, it's a snap/swivel.
You only need the leader for pike and other toothy critters, could also try very high pound test mono/flouro for a leader.
With jigs, tie a swivel then add about 1-2 ft of 'leader' line (flouro/mono) that's a little lighter than your main line, and tie direct to the jig. You will get different actions depending where you tie onto the eyelet (i.e. knot forward, back, middle), experiment. The mid-line swivel is to stop your lure from spinning.
The snap/swivel is more usefull with larger bait that move more, like a lindy darter or larger spoon. All above mentioned line/terminal tackle combinations can be handled with a palomar knot (very easy)
http://www.animatedknots.com/palomar/index.phpIf you need to connect two lines together use the uni-uni knot, easy after some practice
http://www.netknots.com/html/double_uni_knot.html