I'm going to lead a guy on
Why are you choosing to lead a guy on?
I want to make him jealous
It's wrong to lead someone on into thinking that you have emotions for them when you really don't. You should respect that other person enough to tell them the truth outright.
That is right but I'm going to tease him
It's wrong to tease a guy or lead him on. You shouldn't play around with a person's emotions or lead someone on sexually. This can lead to him being angry and turned off by you.