I know from personal experience how one can become obsessive with saving a special cutting. I have learned that no matter what is done, ultimately the making or breaking is within the cutting itself.
I have learned to do my cuttings with benign disinterest. I do my part; the rest is up to the cutting.
Here is a photo of 26 cuttings that I potted out this week. They are well rooted but only a couple are actively growing. (no bottom heat) I did the usual treatise: 4 nodes, dipped in cloning gel, struck cuttings, placed in tray and slipped into a clear bag and tied it close. They took about 6 weeks. There are about 12 that are not yet rooted but callused remaining in the bag.
http://img685.imageshack.us/img685/439/citcuttings.jpg
http://img526.imageshack.us/img526/5655/citruscuttings13010.jpg
Now, take a look at this Meyer lemon cutting. I didn't have room for it in the tray, so I just stuck it in a pot. I turned a baggie over it....leaves fell off, but it is well rooted; three roots about 3 inches long.
http://img502.imageshack.us/img502/7372/meyernoleaves3.jpg
Here is a cup with several Calamondin and Minneola cuttings. I really mistreated them......they weren't dipped or covered.....and now the roots are visible at the bottom of the cup. A good tug on each cutting tells me they are ready to pot up.
http://img6.imageshack.us/img6/2039/calaminnnoleaves.jpg
I have had success with cuttings with no leaves. I think the key to rooting leafless cuttings is the patience to wait a little longer for rooting to take place. When I take the Minneola and Calamondin cuttings out to pot up, I will take a photo and post it here so you will have your proof.
Like Millet said, it can be done; I don't even wrap them like JoeReal does.
I did turn a baggie over the Meyer cutting, but I didn't even bother with the Calamondin & Minneola cuttings, and both ways worked.
Personally, I do like to give them the best start possible and that is with there being leaves on them.