Michael has harness trained (with that harness) both of his parrots. He has an instructional guide on what he did:
http://trainedparrot.com/Cape_Harness/I bought mine from that exact place you linked to. I'm slowly working on it with Nika. If you are currently taking your parrot outside without a travel carrier or harness, I would suggest you never do that again. It is a really sad accident waiting to happen. Even clipped parrots can get a lot of lift and sail away.
Just an example, I heard this story through the rescue group. There was a gentleman with a clipped macaw who allowed his macaw for years (we're talking 20 plus) to hang out on his shoulder when he went to the parrot store. The parrot store owners expressed concern numerous times that his parrot could get lost or hurt but the gentleman insisted that for years he had been doing this and no harm had come. Then one day the parrot got spooked and flapped a distance and sadly was hit by a car. (the person telling the story was there when the macaw was killed) This was an avoidable tragedy. Poor baby... I would be devastated.
Be careful!