Ok, no flames, but here is my suggestion: (other than a leash, I loved my DS's when it was needed)
Take your child to a store with someone else. Have the other person say they are going to look at something in another area. Have that person watch you and your child from a distance. (this is their sole "job" during the outing) You and your child walk around for however long it takes for your child to take off. You leave the area and try to sneak around to watch your child out of their site. Meanwhile, the other person has their eyes on your child the entire time! No if, ands, or buts. (remember, this is their "job" of this outing) At some point your child will realize that they are lost. Let them fret for a bit. (not too long, you don't want to completely scar them for life) When you feel that that they have worried enough, step around so they can see you and tell them that is what happens when the run off. Then go thru the whole "what if a stranger would have taken you" routine. Then have the other person come back.
I know this sounds mean, but what if a stranger would grab them when they take off? I've seen reports on 20/20 and other shows about the above. This is what I did with our DS when he was young. I would go to the mall with a friend and she would take it upon herself to "watch" him and discipline him when he would do something she didn't like. (we're no longer friends) I knew better than to chase him. It was a game. I would just turn and walk the other way and he would realize that I was not going to play and come back to me. She would chase him thru the entire mall. I got scared one time because she did this. He got so far away that I could not see him anymore, and there is my "friend" chasing him and yelling very nasty things to him. I was running after them yelling at her to stop it and leave him alone. She wouldn't listen. (I ended up taking a shortcut thru a store and luckily came out infront of DS in the hall) I was livid to say the least. The next time he pulled this "game", I did just what I said above. He has never run away after he thought he was "lost".