When I first started leash-training mine, I thought they were like dogs, so we had several ugly mishaps until I learned how to go about it. Mostly, they trained me.
First I'd introduce them to the harness, giving them treats when they sniff it. After a day or two of this, then you can gently put it on them, give treats, and take it off. And repeat once a day for a couple of days, and then start doing it more often. Once putting it on and off is fine, then start letting them wear it (with SUPERVISION) for short periods. Gradually increase the periods, giving them treats after putting it on.
When your kitties are very used to it, add a leash in a supervised area where it can't get caught on stuff. Let the cat drag it a bit. Give treats. Do this a few times. Then, in your own home, get kitties used to you walking behind them while you hold the leash. Encourage them to stay near you with treats and pets.
I'd also suggest teaching some sort of come here command.
Now, when you go out, your kitties are going to not necessarily follow you.. but if you just provide some gentle pressure on the leash and don't give in, they will stop and sit where they are. No jerking, no yanking, no pulling, period. They won't learn that way--they will be traumatized and injured.
Mine now know when there's no more give to the leash they can either sit down and make themselves comfy or they can walk in another direction. We walk together, we run together, and we sit amiably side by side together. It's a nice way to bond with your cats--I hope you enjoy it.
And these directions can definitely be improved upon.. it's very rough.