You basically have 3 options:
1) Because he doesn't listen (whether he chooses not to or is incapable at this point of understanding) YOU have to be proactive, you are his mom. When you go into a public place hold his hand. He won't like it, but you can tell him that because he doesn't listen to you and you are afraid that something may happen to him this is his consequence. (I really don't think he'd like a harness on him.) If you have a younger child in a stroller make him hold on to the stroller at all times. Or you can do what I did with my daughter (whose brother, my son, WAS kidnapped) and have him hold on to your pocket (she would slip her hand inside as she walked beside me), your shirt, jacket, handbag, etc, he would have to hold on to some part of you at all times.
2) When you are in a very dangerous neighborhood (not your residence, I understand) YOU have to tell him he's not going outside, period. You don't need to give him a reason, but if you choose to tell him because it is not safe for him there, end of discussion. Since you more than likely can't trust him make him stay right with you so he can't slip away unnoticed.
3) Stop taking him anywhere. Tell him that he has lost the right to go anywhere because he doesn't listen to you and wanders off, it is a consequence of his actions. Leave him with someone, hubby, neighbor, whoever it may be when you're going shopping or another public place, and don't take him to the very dangerous neighborhood at all.
As far as scaring the living daylights out of him i truly don't think it would work. Dr. Phil has done numerous shows on the topic, the kids always go with the stranger, and the emphasis is on teaching the parents how to protect their children, not the children getting scared of what happened.
Teach your son all the ways that someone (even a trusted friend up to no good, a more likely situation than a stranger coming up to him) may try to lure him away, and what to do in the situation: bite, kick, scratch, scream, etc. Come up with a "code" word for your son to ask a person if they show up to pick him up unexpectedly. My daughter and I had one, and one day my best friend got off work early and went to afterschool care to pick up her son and was picking up my daughter as well. My daughter, 7 at the time, had been expecting me, and wouldn't budge to get her things. My friend asked her why she wouldn't get her things, and my daughter asked her, "Don't you have something to say to me?" My friend thought and then remembered and told her the word, my daughter brightened up and ran to get her things. You need to change the word after it is used, and make it a word he chooses so it's easier for him to remember, and stress that he is not to share it with anyone.
Don't put a chip in him, but if you want a GPS locator on him consider this locator he cannot take off. Works like a watch for the child, and in the event an unauthorized person attempts to or removes it an alert will be sent to your cell phone and email. There is a one-year service plan you can pay by the month or all at once. Might be pricey, but he's worth it, right?
You absolutely do not want your son to go through the trauma of being kidnapped or the trauma it would put your family through, it was pure hell on all involved, something I and my son still deal with. YOU as his parent must be the one that takes responsibility and control of his safety, he obviously can't at this point.