Leonard walked to the podium, made direct eye contact with the audience, then asked the audience: "have you ever wondered what a hot dog is made of? do you really want to know? " what introductory device was leonard using?

Rhetorical question.

An introductory device is a strategy used to begin a speech or an essay. It is meant to engage your audience. A rhetorical question is a good mechanism to do this because, whether the question is meant to be answered or not, it helps the audience focus on your speech by making it more personal and forcing them to think about the answer.

it is a better alternative