Other than that ... pretending what you suggest were remotely possible ... bags would likely pull the unexpected. ... like immediately falling down and crushing your ankle.
Or maybe screaming "RAPE!" "RAPE!" just at the sight of you carrying a saddle in his direction.
I agree, it's highly unlikely that the halter & leash arrangement would work either. But it would likely be MORE safe than holding hands. He can be incredibly handy. At least, that's the word on the street. Handy at what remains to be seen but that's the phrase used.