I did a similar thing to krissy when my DD2 was smaller.
DD1 had a piece of ribbon attached to the side of the pram and she had to hold that. When DD2 wanted to get out she had the same rule but thought it funny to run away. She soon learnt that if she didn't hold onto the ribbon into the pram she went. I used a wrist strap when we had no pram with us after a while I used to put it on so loosely she didn't know the difference.
Safety is so important when shopping and letting them get lost will work on some kids while others will have a wonderful time in their own little world.