The only harness I know of that's made in sizes small enough for budgies is the Flight Suit, which is also a diaper. It seems more suited for larger birds, though. Even though it is a very thin material, on a bird as small as a budgie, it seems like it would be restrictive to movement. I have one for my conure, and I can get it on him, but he is terrified of it.
You might try a bird carrier like a petpocket, which can be worn like a backpack. One thing I would not suggest is a wing clip, since a budgie is so lightweight that even a clipped budgie could easily fly away if startled, especially if there was any wind.

Karen
Chico (conure) and Pippin (budgie)
WI