I used to own one of those locking anal plug harnesses from ExtremeRestraints.com, got rid of it when I moved in with my fiance. Self-Bondage is a little fun secret of mine.
This is a very simple and effective way to make your own.
I went to Lowes and got a chain. I used the bigger ones like you would chain a large dog up with. You can try this first with a rope or twine, then measure that, that will tell you how much chain you will need to buy (Lowes will cut them to your desired length). Make sure you get one that doesn't have any sharp edges. Mine has solid oval loops.
Basically, the chain connects to a leather belt with a buckle on it that will accept a pad lock, in order to accommodate a buckle lock. Before I explain the next step, let me just explain the desired result, it may make it easier to understand. The belt will loop through the middle of the chain in the back so the chain sits snuggly between your cheeks, tight enough to hold a plug either sitting or standing, not too tight to cut of circulation, but tight enough to disallow removal of the plug. The two ends will also have the belt looped through them in the front so the chain sits snugly on both sides of your scrotum. I thought this would be uncomfortable, but it really isn't. Just enough to add a little to the excitement.
Detailed explanation: What you need to do first is slide one end loop of the chain all the way onto the belt, so it rests next to the buckle. Next find the middle link on the chain, if you have an even number of links with no exact middle, that is fine, just choose one of the two in the middle. Slide that one on next, this should creat a leg hole that you will slide your leg through. Next slide the other end of the chain on the belt so it will rest towards the end without the buckle. That creates your final leg hole. Finally secure the belt with a buckle lock, and presto, a nice locking anal plug harness.
And of course, before you do all this, make sure you place in a nice large dildo or anal plug with lots of lube. Enjoy!