Please don't use a leash. I think this is one of the most demorilizing things you could do to a child. Just watch your kid; works for the rest of us, plus leashes are for dogs.
I use the monkey one from Wal-mart and I love it. People are always in admiration about it and ask me where I got it. I like it b/c it's a fun back pack and not just a 'leash.' You got to be safe now a days and with 3, I need all the help I can get.lol.
I have used the wrist to wrist and it works well. There are also little animal backpacks which are really cute and less revealing. Both of these can be found at Walmart, Target or any other type of store such as this and the feature of buying it locally is that if it doesn't work out, you can return it. ;-) Hopethis helps out..
We've used one with our toddler since he started walking - we got a monkey harness from Walmart very similar to this one at Target http://www.target.com/b/ref=sc_fe_l_1/183-1891172-1980015?ie=UTF8&node=1261962011 (it was under $10)...we feel safer with him at stores/the mall, and I can give him a little freedom when we go for walks without worrying about him zipping away into a dangerous situation. He loves his "monkey walks"!
I have seen many parents have leashes some are better than others. Here is a site that has a variety of them.
http://www.securebaby.com/child_harness_all.html
I actually do not use a leash but understand why parents do. You should check out
http://parentricity.com/product/2272/Eddie+Bauer®+2-in-1+Harness+Buddy+-+Monkey
Which is like a backpack leash and allows you to not loose your son when he is walking.
