I don't know how to make a "fancy" one, but I know how to make one out of a rope (or leash). I don't know if I can explain this to make any sense at all....
You make a lasso out of the end of it. Then you put the doggies front legs in it like a vest. The bottom of the lasso will lie across his shoulders and the knot will lie across his middle back. Then you stick the rope thru the part that is lying across his shoulders and pull it through. Take the two straps that are holding his legs together and pin with a big safety pin together so it doesn't strain his little legs.
It sounds way more complicated than it is! This is how I walk my rabbits, and it works great. If you're using a leash, get one of the little key chains rings and clip it to the leash clip. Then slip the handle through the ring.
When you're done, leave the safety pin in and just take apart at the shoulder area and it will be ready to go next time! Just slip his legs in