Hi S. - wow that must have been really really scary for you. I've never had to close down the mall but I've had some scares. My son also has auditory and sensory issues and we have really been working on getting him to answer - every time. I understand exactly what you mean and just how frustrating and sometimes scary that is. I used to think that kid leashes were crazy - until I had kids of my own!
We found a wrist leash at BabiesRUs to use with my first. It would have been easy to make - basically just a long piece of elastic with a loop on one end for me and a velcro bracelet on the other for him. The problem was that he hated having it on his wrist and would take it off. He didnt like the scratchy velcro but maybe you could make one using a kid size rubber bracelet with the elastic sewn around it?
This is going to sound bad, but what I ended up using was a lightweight dogleash my sis left behind. It was about 6 feet long and I just clipped it to his belt when he had one or to a diaper pin attached at the waistline. Sometimes I would attach it to the stroller. That gave him an extra few feet of breathing room and made identifying him pretty easy if he ran off. He would be the one with the stroller following him! : )
The other thing that I do, especially if the mall is busy or we are going to the zoo etc. is to put him in bright clothing and I always put a sticker nametag on him with my name and phone number - just in case.
We also picked up an ID kit for both of my boys where you put in a picture and do fingerprints, etc. just for peace of mind.
Hope that helps you!