I have a daughter that was just like that! My now 6 year old always ran around and scared me many times.
What I would do is the "monkey leash" thing. Children this young do not understand the danger they are in by running off. We cannot expect to teach them and have them understand and remember it tomorrow. Their world is so big and so exciting and they want to see it.
I would tell my daughter that she has to wear the leash and if she is being good that maybe we will take it off for a while. Then as soon as she would run off it would go back on. It terrified me to have my daughter run off. I would rather feel "mean" by putting her on a leash than running around looking for my child and wondering if she had been kidnapped.
My daughter is better now and I think that is because about two years ago we think she was almost snatched. We were at walmart in their little playplace at the front. I was at the front of the playplace watching my daughter. I reached into my purse to put my receipt away when I noticed an old man come walking quickly up to my daughter. He noticed me and stopped dead in his tracks. He looked at me and then her, I had the creepiest feeling. He walked off and I grabbed my daughter. I pointed at the man and explained to her that he was going to grab her and that if mommy had not been here he would have taken her. I felt bad because I made her cry. She was only 4 years old at the time, but you know what, she doesn't run off anymore. She still has occassional times she wanders away, but it only takes reminding what can happen when mommy (or daddy) is not there to protect you.
It will be a few years from now until your daughter can understand the saftey issue from being apart from you. All you can do is teather her to you as much as you can.
Good luck! Active children are so fun!
P.S. I forgot to tell you about a trick I do with my daughter. I only started it a couple of years ago but she thinks it is so fun! My oldest hates it, but oh well. I tell my youngest that she gets to be my donkey tail. She knows that she gets to hold onto the back of my shirt and say "hee haw, hee haw!" It works great because I know where she is! My oldest gets extrememly embarassed and asks us to stop, which only eggs on my youngest! You do have to get over the embarassment factor yourself, though! I do get funny looks, most of them are amused!