Which headshell to use?

Yes, what banquo said. May I add, I have found that a $30 jelco can be the best choice for a particular cart while I use a $100 cherrywood Yamamoto with my Denon 103. I have an sme 3009 but have found that the sme headshell with holes all over is the poorest performer. Choose heavier solid for better sound ~ aside from all/magnesium I use ebony, cherry wood, and graphite depending on the cart.

I also agree with silver headshell leads. I do not like silver connecting preamp to amp or digital to line stage or speakers. But I have found as mush silver as possible from cartradge through phono to line input is best sounding for me ~ I use VDH silver.

Surely the leds are important but silver or copper is a matter of taste. Also if your tonearm internal/external wires are copper what's the point to use silver led wires in headshell or vise-versa? If your cartridge coil is copper why you need silver wires or vise-versa? Some of the best tonearms use one set of wires from cartridge to your phono stage.

About Audio-Technica headshell with fixed screw holes:
Yes there are no slots to move cartridge in headshell but on the backside of the AT Technicard or Magnesium headshell you will find at least two sets of mounting holes. The most important thing about this type of AT shells is FULLY ADJUSTABLE OVERHANG AND AZYMUTH and with thus option you don't need any slots, you move the whole shell to adjust cartridge with your protractor!

Mofi is correct,Orosonic IS 'da bomb !

If I had money burning a hole in my pocket, I'd be tempted to try this headshell. Evidently, inspired by the Orsonic.

My favourite is the Sumiko magnesium (13 g) with wire and
movable connector for the azimuth and extension. About
40 GBP on ebay. uk. From the 'exotic kind' I prefer the
heavier Orsonic (AV -101). From the 'professional kind'
the Arche. The one which Banquo would like to own. The
Arche is pretty expensive but the insert pieces on which the
carts are fastened make this headshell a totally different
proposition. With, say, 4 inserts pieces one get
4 Arche headshells. The insert pieces are about $ 50 each
so one get the Arche headshells for about $150 each.