Definitely go for a GA Micro from Guardian Angel Devices
Our Dog Walking LED Light is the only 2-in-1 wearable and mountable safety lighting device and is rechargeable, wearable and hands free.
www.guardianangeldevices.com
I have the green/green one for my dog mounted to the top of his harness with the bolt-on strap mount.
Order the Guardian Angel™ Clamp On Strap Magnetic Mount.
www.guardianangeldevices.com
It's super durable, very bright, waterproof enough for some immersion, rechargeable, etc... Even though the mount is magnetic my dog has never once shaken it off despite his best attempts. There's even an option to bolt the light directly to the magnetic mount if you want even more security, plus a lanyard loop if you still want a third level of backup retention.
It also projects 90% or so of the light out to the sides so when your dog is walking by your side you never get blinded if you look down at them. If you're not planning on getting one immediately you can wait for their BOGO promotion that usually happens at least once a year. If you buy one Full-size (Pro) GA they'll toss in a free GA Micro. Sorry that this recommendation is 3 years late or so, but I just learned about these last December. They're a bit pricey, but I'd definitely consider them to be at least 10X better and easier to use than every other dog light on the market.