Build your adwords URL appropriately:
From there, create a static list for all of your sources, medium, term, content, name, etc that you're going to use.
When someone visits your page, the UTM parameters will be shown.
Now, put in a workflow for Visits Web Page and then Querystring = one of your variables, so:
Put each of the leads into one of the lists. Even if their an anonymous lead, you should be able to add it to the list.
You can also look at a Web Page Visitors report and generate one for Known Leads and for Anonymous leads.
Hugo, we track this by hidden fields on your Marketo forms. You can set Trigger campaigns based on the form being completed with certain values in the Querystring. More info can be found here in this Discussion: UTM Parameters as Hidden Fields - not coming through
But that will only track the lead if they fill out the form. If you want to track the lead regardless of form fill, the way I mentioned works best: visits web page.
This may require more than a Visited Web Page+Querystring.
The real question Hugo Bissonnette is what do you want to track? If you do a search here, there are several options for handling adwords