I started a thread a few weeks ago with a similar problem, although my daughter is only 21 months old. I think I'm sort of in the middle of a lot of the PP'ers. I don't believe in offering consequences like leaving the mall if they don't behave (or making the threat to do so). We're here to shop, so shopping WILL get done, regardless of their behavior. Unless of course my child is hungry or tired, in which case it's off to the food court we go for a snack, or I finish up quickly then it's home for a nap.
I strongly dislike the idea of using a leash, but sometimes it's necessary (like if you're at a fair (ie. LOTS and LOTS of people) and your child wants to walk around and explore), or if you're out for a walk on a busy street (traffic). Although just as much as I dislike the use of leashes though, I feel even stronger about the use (or overuse) of strollers. There's not much that bothers me more to see older toddlers confined to strollers (ditto for sippy cups, soothers, etc). Unless you're going to be in a situation where your child may get tired and need to rest, I'm a firm believer that children should walk when able to. We almost never take the stroller, and when we do it usually ends up staying in the car.
I can't stand the backpack leashes (personal preference), but there are some really nice ones (either a harness, or one that velcro's to the wrist) that you can easily toss into your diaper bag. Even if you never use it (I've found myself in such a position several times).
As for malls, I usually just take one of the shopping carts and push it around. With all the stuff you buy, jackets, the diaper bag (if you use one), it's just SO much easier to toss it all in a shopping cart than to struggle with the stroller AND having to carry all that stuff. And we also have the option of putting our child in the cart or letting her wander. I usually let her wander around first to get it out of her system before starting my shopping.
I also dislike the threat of "Bye! I'm leaving, but you can stay here" when they wander away from you, but if they do run off, I really like the PP'ers suggestion to allow them to find YOU, rather than you go to get them (followed by the "It's scary when you can't see mommy" talk). And if they have a younger sibling, asking them to help teach the sibling to stay close is also an awesome technique. Not only does it give the child something to do, but it gives them a responsibility that most kids LOVE.
But like I said, I have the same problem... so I'm subbing for ideas as well.
