Here's a picture of the foster ig I was telling you about, wearing a hip leash. You can see it's called that because it goes right before the back legs, around the hips. I made it with a barrel clasp (like the ones you see on the strings of hooded sweatshirts) and about 3 feet of cotton roping (synthetics are not good, they will chaffe him), just like the sweatshirt strings, and a rock climbing clasp, the kind that it was very popular to put your keys on in the late nineties.
Thread both ends of the string through the barrel clasp. This will not be easy. It helps to put tape around the ends, to make them like shoelace ends. Once they are both through, tie a strong knot in one end, and tie the other end securely to the clasp. You are done.
To use, clip the climbing clasp to your belt loop. Thread the iguana through the loop made by the cotton string. then make the loop smaller by pressing both buttons on the barrel clasp and adjusting the string until it is snug around the iguana's hips. This will also not be easy the first couple of times- tape will not help you here. 
Release the buttons to lock into place. It shouldn't be so tight that it constricts the iguana's breathing, but you definately shouldn't be able to get even your little finger between the string and the iguana.
The leash is not fool-proof- don't leave your iguana unattended on the leash, and don't assume you can let him wander far on a long leash. A hip leash has less of a strangulation risk than the kind of leash that goes around the neck, or the harness kind, but it is still a possibility. Also, large iguanas have been known to break out of the leash, and smaller ones to wriggle out somehow. THe way I think of it is that the leash gives you that extra second that means the difference between a lost iguana and a caught iguana!
I never take my iguana outside without one on. It has saved me from having to chase him about 3 times.
I don't know if my directions are clear enough- search for "hip leash" on the forums for better ones! 
