Well. You should technically only have a harness on when you will be sledding or skijoring, no sense in keeping it on your dog 24/7 so that he can figure a way to take it off or chew it off. Basically, since his mind will be occupied during pulling, he won't be thinking about taking it off.
It's the same with putting shoes on your dog, they hate it, but if you put them on just before sledding then they don't think about taking them off.
And besides, you can always have a collar on so after you are done you can put a leash on your dog.