That all depends on the type of harness/leash you are using.
I'd just like to take a minute to put this out here as food for thought about the harnesses you choose for your lizards.
I started making harnesses in 2009 to keep my dragons safe. I hated every pet store harness back then and still do. Not one of them seemed safe for my dragons. They just weren't made quite right to be safe, either too small, too big, the fabric caught the scales, there was pressure on the throat, or there was just plain risk of bodily harm.
It took a lot of trial and error to come up with the design I finally used.
I had originally just made them for myself but friends of mine wanted them as well and I actually started selling them here. I can honestly say I'm glad that I started making them but I never would have guessed I'd still be making them all these years later. I am happy to be able to help make sure beardies and other lizards are safe when out and about.
People may not choose my harnesses and that's okay, I just wish people would choose harnesses that are more safe than a piece of string, paracord, etc, that can break their limbs or they escape if there was ever a need to pull back for any reason.
Think about how their movement is then think about the harness you have whether it be one of mine, someone else's, or one you made. How does it fit? Do the arms move freely? If for some reason you would have to pull back on it (like you would for a dog) would it still be safe?
Just because it's cheap doesn't mean that it's safe and tested for your dragons.
Dragons are lazy for the most part but it just takes once for them to wiggle, kick a string, or break something on themselves to get out of an unsafe harness.
There are still a few of us that make actually safe harnesses for your dragons. We see all the new harnesses and we tend to cringe not because of competition, but because of the safety of your animals.
What I tell all my customers is to try on the harness inside the first few times and let them run around a safe area while the leash drags. Harness training can be easy or take time but most eventually associate harness time with outside time.