Looking at the surf-ski fraternity, they do make use of a tether; the norm is a calf leash (a cuff just below the knee, to a quick release clip to a short leash secured to the handle). they only use it in big down-wind conditions though. there are some notable differences to our game though.
Firstly, a surfski weighs half to a quarter what a fishing ski weighs and is very easily picked up by a strong wind, compared to a fishing ski, secondly we generally dont seek out the big downwind conditions that they like.
In many years of skishing i can only think of two or three occasions where a tether to a your ski may have been beneficial: once a mate was washed off his ski in a big following ski (had a paddle leash obviously) got a skrik but stayed with the ski no prob; on another occasion two mates got wiped in very bad conditions in a strong channel rip resulting in the loss of a ski. the paddle leash in this case was cord which had no shock absorbing properties anyway.
So assuming the safety kit between your ears is functional

(lol, ie youre not using a tether to compensate for other shortcomings) and you want to pursue the tether-to-ski route, i'd say use a proper surfski leash at least, or something like 6 - 7mm yachting stretchie, and keep it as short as possible. Avoid cord or thin rope as this has no shock absorption and tangles really easily. A surboard leash, given the weight difference, will be too light, except perhaps for the 8mm big board big wave type which will prob be too long anyway.
Between your paddle leash and personal leash, only one at the most should be the coiled (telephone cable) type - if they both are coiled type, expect a huge tangle. have a stainless quick release clip at your end of the leash - not the ski end; and use a solid attachment point like a handle, not a rod-saddle.
regards F