Which way do you use preloaders?

Hi.
I’ve been making preloaders for my flash movies as the first scene in my published movies, but as you all know, the viewers computer has to first start downloading the movie and by the time that happens, the preloader is almost done loading.

My question to you is: Who here makes a specific (and small file size) “loader.swf” file that creates an empty MC, calls out to the main movie to load, and also displays the percentage loaded for the movie being loaded into the empty MC? If you do, are there any caveats I should look out for?

My next question is: If so, do you write all of your functions in that loader file, or in the first frame of the “.swf’s” as they are needed.

Ideas, thoughts?
Thanks!