I had a wrist leash once, but we never really used it. My son figured out early on how to take it off, and would do so when I was engaged in discussion with the cashier, for instance, or while I was scanning the shelves for my next purchase. He was my second oldest (my first wasn't the running off type) so we developed our running strategy early on in our parenting career : )
1) Compulsory hand holding while in public. (or my hand holds child's wrist if they are struggling finger wigglers ;) When your child eventually grows sick of this and whines, remind them that if they didn't run off all the time, it wouldn't be necessary.
2) At the first sign of running off in the grocery store, stick your child in the cart. [We generally have a "hands on the cart" rule, where the younger kids have to have at least one hand on the cart at all times] Remind them that they are now in the cart because they won't listen and keep running off. When your child becomes upset. Mention that if they didn't want to be forced to sit in the cart, they should have listened to you and not run off. If their tantrum continues, let them know you'll be leaving the store, going home, and putting them down for that nap they so clearly need (since they are not listening and having tantrums in public) :)
My biggest challenge was trying to keep the other kids from running after the wayward toddler. (who then just thought the running off was the start of a fun game of tag)If just my husband or I went after the wanderer, it felt more like "ugh-oh! Here comes Mom/Dad!" and therefore a lot less fun.
Good luck!