I have that same problem. I was in Tuesday Morning the other day and they had a leash/halter called the "Sporn Halter". They had a small so I bought it, knowing it would be too big for Molly right now (she is only 3 months) but it was only $4.95 so I thought what the heck I'll try it. I took her out one time and even though it was too big it really seemed to work. When I went to remove it the snap thing stuck. I took it back to TM to exchange for another but they were all out of smalls. I went to the web site and the same halter listed for $21.95 but I may still order it. It would be worth the $21.95. here is the link if you want to check it out.
www.sporn.com - Mesh Non-Pull Harness