PA piercing. It's the ONLY way to keep secure. For short term wear, you can get a small rubber "O" ring at the local hardware store, and attach that to a small chain. The O ring goes behind the glans, and the chain exits the tip of the cage, then attaches to the padlock. It's not escape proof, but should hold things well enough if you are not trying to get out. Also, it acts as a "tell-tale", in that if you did pull the O ring off, you would not be able to get it back on without removing the cage. For longer term use, I was getting a lot of skin irritation on the underside of the shaft if I wore it for more than a few days. Eventually, I went ahead and got a PA piercing, and have been very happy I did.
I have a very similar fear, and had long waiting before I decided to purchase a CB-6000 for that reason. Will it stay secure overnight? its a real frustration to get up in the motning just to find out that the chastity is messed up...