To duplicate a lead click on the Duplicate button in the Actions widget on your lead:

A popup window will appear as shown in the below screenshot. 

Use the popup to enter a new name for the lead, set a status for the new lead, and select the duplication options.

When you're done, click Duplicate and the new lead will be created:

Here is a description of the duplication options: 

• Copy Assigned Users - Copies the users assigned to the original lead
• Copy Document - Copies the original's lead documents to the new lead
• Link To Original - If enabled, the new lead will show a link to the original lead in the Associated Merchant & Lead Records widget
• Copy Notes - Copies the original lead's notes to the new lead
• Assign Me - Assigns the current user to the new lead

Here is a screenshot of the link to the original lead in the Associated Merchant & Lead Records widget: