I absolutely agree with Miniar 100%, the Doc Johnson Vac-u-lock system is the best. I've tried other brands/styles of harnesses and attachments, and this one of those cases where the brand name is *completely* worth it. Don't get a cheap-o one just to save money, because you'll end up thinking "using harnesses sux" when really it's just that using *cheap* harnesses sux...

Also, I would highly recommend that you get the leather harness with buckles rather than one of the plastic harnesses with snaps. Not only is it much higher quality (and will last for a long time if cleaned and dried after each use), but it's comfort and adjustability are superior as well. Google vac-u-lock (or just add a .com to that) to see their site.
You asked about having it fall off, I think that would be pretty-near (if not fully) impossible with this system. When I take off the attachment afterward for cleaning, I have to really tug to break the seal it makes (with a "pop"!). To make sure that it doesn't seal too tightly, in fact, they give you a little puff-type-container of powder (cornstarch) to mist into the connection hole of the attachment before affixing to the harness. The dry-lubrication ensures that the plastic isn't damaged by the friction of pulling it off.
As for the attachments, I really like that there is a big variety in size (from 5" to 8"), shape, material, etc. They have a few fairly realistic ones (not as realistic as the ones you pay 4-digits for, but still quite good), even including faint blue veins just under the surface, somewhat textured scrotum, head slightly darker than shaft, etc. When I look down at mine (and my pudgy tummy "hides" the harness part from view) I feel quite intact and connected with my member. Now if only they could make it so that you could "feel" what the attachment feels...
Oh, and as Miniar mentioned, you can get one with a bullet-pocket (the leather harness from them has one, and also a remote-holding-strap on the hip). If you check out their "vibration add-ons" section under "accessories" you'll see what we mean about the bullet and remote. Having the bullet in the pocket (perfectly placed to vibrate right where it's needed) has made it so that I can climax from thrusting alone, making it so that I can worry less about trying to "think" my biological-girl-parts into the parts they're supposed to be, and I can just enjoy making love in a way that is natural and fulfilling to me.
Also, the bullet and remote they have there is a fairly simple one. Nothing wrong with that, especially for starting out, but there are other models out there that are still compatible with this system (the bullet just has to fit in the pocket, and the remote in the hip-strap) which are more powerful, and have more settings. Originally I thought I'd only ever use the "solid buzz" type of setting anyhow, but truth be told, the intermittent pulsing setting can be really great when you time your thrusts with the pulses, and can be started on slow and sped up with a quick reach to your hip with a free hand as things progress. What I like about this is that if you feel the buzz in time with your thrust, it really completes the mental-to-physical connection and for me has made all the difference when it comes to not getting disphoric during sex.
Anyhow, all of this is just my opinion, I gain nothing from anyone purchasing from that company, I've just been extremely happy with their products and unhappy with the alternatives. Please feel free to ask me any questions you may have. Also, I can send links to your PM if you're having a hard time finding the particular products I'm referring to (the leather harness, the 5" realistic attachment, the bullet and remote, etc.).