Welcome to Yorkie Talk and congratulations on the new addition to your family.
I too prefer a step-in harness for the ease of putting it on the dog (nothing to go over the head, and no straps to fiddle with). Security, not being able to escape, is also important for my boys -- but depends on the dog. I also like that I can lift my boys safely in their step-in harness, or swing them, in an emergency.