I have a peecock, and find it stays in place without a harness just fine if you're wearing tighter fitting brief style underpants.
I opted to make my own harness that mimicks the style of the ones sold on the peecock website, but with clear elastin instead of regular elastic. I found a rubber O ring at the hardware store that is the right size for the shaft, and made the rest with the clear elastin. Works a charm.