Well, if you followed the connection diagrams for the Arduino UNO available on bildr, then it won't work..
The leonardo has the I2C bus on different pins compared to the UNO.. You will just have to use the SDA and SCL pins which are available on the leonardo (near D13) and not the A4 and A5 like in the UNO.
Hope this helps,
Fabio Varesano
p.s.: oh.. and next time get a FreeIMU!