It's not bad to want to keep your child safe! I used to be freaked out by these...until I had a child who was not afraid to walk away from me anytime, anywhere. Now I see why parents use them!
Anyway, I think I bought my harness at BRU, but as someone else mentioned, now they have little animal backpacks. The kids wear the backpack and you hold the long tail. I believe you can even let the child wear it without the tail at first to get used to it, then just clip the tail on later. I've seen these at both Target and Walmart.
Have fun seeing Elmo! I took my oldest when she was that age and she LOVED it.