I personally would not use one on my children. That does not mean I think less of those who do, it is a decision a parent makes knowing their own child.
My dh and I each have one child. Lucky, we are not having anymore because we would be outnumbered. DH usually picks the younger one because he can throw him onto his shoulders.
My 2 yr old knows, either hold mommys/daddys hand or in the stroller and given the choice he has no problem holding my hand.
My 4 yr old knows to stay with us and I do not worry but I still bring an umbrella stroller for him at the park.
If you feel more secure with the harness and will help from worrying than use it. Believe me I can understand. On our first trip I wrote our names and cell phone number and put it in my sons pocket because if something did happen he could not tell them his name or our name.