Small parrots being outside

I often see people take their parrots outside with harnesses on and every time i wish I could do the same. I did buy a harness and my cockatiel is putting it on well but Im starting to get anxiety. My biggest fear is that he'll slip out of it and I'll never see him again. I'm also super paranoid about any sort of fumes around him. If there's something bad for him to breathe in outside will he be okay? Are there any harnesses that are less likely to be slipped out of or any precautions I could take?