Maybe a pant leg or a sock if the dog is small?
I would imagine backchaining would be the way to get this behaviour, as well as breaking down each step.
E.g. teaching a go to room x on a cue
teaching to grab pant/sock/wrist
- then a cue for release
and then asking to go to room x after cuing the grab VERY CLOSE TO THE ROOM (i.e. next to) - and then gradually increase distance