My boy is a real escape artist, and I mean real - Julius K9, loads that people have recommended as being for 'Houdini dogs'. He also chews through leashes, including a beautiful, very expensive leather and brass….which he neatly chewed into 8 inch lengths when I was foolish enough to leave it below 6 feet up....the only thing I trust my boy to be tethered in is his current harness - a Ruffwear Webmaster. For walking, yes, a martingale (and oddly enough, Butu has never worked the trick when slack), but I'd definitely not trust him tethered. I'd get him one of these, and probably a chain and trust him in an open stall where he can see you and you can chat....I'd make the chain long enough that he could stand in the entrance, but could go inside the stall if he wants a sleep, drink, food from his bowls....do not let him near tack, horses feeding stuff, horse's anything - and I'd be cautious about hay too.... Chealsie508 - have you tried these (Ruffwear Webmaster?) If this hadn't worked I was going for a Ruffwear Doubleback, which costs a serious amount of money (but when I think of the number of useless harnesses I've bought..) but is the nearest thing I've seen to a doggie straitjacket - it's used by those people who drag labradors rock climbing....
http://www.ruffwear.co.uk/dog-gear/harnesses/doubleback-harness