You will mostly be following your rabbit around. Having a leash is safer then just letting your rabbit roam in your yard alone. However, if you have a fenced yard or will be keeping a constant eye on the rabbit, there's no problem with letting it loose.
To start leash training, get your baby used to the harness without the leash on it. It will soon forget that it's wearing it.
Once it forgets about the harness, attach the leash and let your baby on the grass/ground/floor. Let it explore its surroundings and follow it with the leash around your house or yard.
There are so many things you can do with a rabbit on a leash. Walk it to the park, let the kids walk it, ect. There's nothing funnier or more interesting then seeing someone with a rabbit on a leash!