I noticed in the second movie, all of "The Winter Soldier's" holsters were magnetic. There's nothing covering the firearms like a conventional holster, they just kinda stick to him where the harness is. He wears a similar shoulder rig to Caps and he has that small SMG on his back. He has a drop holster on each hip with his handguns stuck in place too.
Based on this, a magnetic harness for Caps shield seems plausible.
