The only time I've ever done this, was so Indie could help me haul a big plate of wood for the fireplace up to the house (it was a cold and very snowy winter, I couldn't do it by myself.). I strapped rope to the rigging on the breast strap, and since it was uphill there was no sliding problem. But really, it isn't a good idea. I only had luck because it was, like I said, up hill and I didn't need more stop. If the sleigh where to pick up speed it would bump right into the horse and cause either a crash or a bad freak out. Either one would probably lead to the other.
So if you are actually do a lot of pulling, it'd probably be best for you to invest in a nice harness, they make some cheaper models too so you don't have to pay a ton. :)