yep, they can make it difficult to breathe and can potentially tangle up their legs if you don't watch what there doing.
personally i don't use a leash much an when i do i just put it around once in front of the back legs, that way there is no constricting of them breathing normally
i keep a close eye on both of mine when they are out of the cage, they usually stay on me or on my lap and i will let my calmer one Lizzy sit on the couch etc. because she will just chill and hang out, my other one Sandy is pretty aggressive sometimes so i try to limit her handling to staying on me or in my hand, i'm fairly certain if i let her sit somewhere she would dart of running and a leash of any kind would just potentially injure her if she was to do so. i'm working on her and hopefully she will calm down but as it stands the only way she i calm is in my hand or on my chest