In my opinion, leopard geckos are too small for being walked with harnesses. I have them for my bearded dragons and it's hard to get them on and to keep them on. Bearded dragons like to bask, look around and explore; leopard geckos tend to prefer to go and hide under things, especially during the day, since they're nocturnal. I think a better alternative for leopard geckos is to get a big box or other enclosure, put things that they may climb on or move around in the box and let them "explore" during the evenings. I knew someone who used to put her leopard geckos out to "play" in a wading pool (with no water, of course) that had interesting things in it.
Aliza