My cats are learning to use the kitty holster and haven't gotten out of it. They're pretty easy going cats, though. One cat uses the xs, and the other the s/m size (they're 6 month old Ragdolls.)
Edited to add: If the cat is on a leash and starts panicking and pulling back, you should let the leash go slack. That makes it harder to get out of a harness (though of course, some cats are expert escape artists and still manage).