I don't think there is any real need to add an extra line on board. I used the tip I found on the forum (forget who was the first:)) and tie the tails of my mainsheet and furling line together, and pass this loop through the carabiner. Not only does this become my tether, but also ensures that I can always get hold of the lines quickly.
I hear you but the rope I made as a leash is thicker easier to grab onto. I was planing on testing it down int the keys this weekend with my dad in yak. I do loop the sheet and furling line together. If I get ejected from the yak like that it would sheeting in all the way the sail while trying to furl. I imagine it would result with the sail still out. My plan for the leash is to stuff it in the port mesh holder and tie to the crossbar in front. Ill try overboard scenarios with both and let you guys know.