There are a lot of different types of harnesses available, but you will find primarily frustration rather than satisfaction if you try to use the cheap versions with elastic bands to hold them in place. This was the first type we bought in our more naive days, and it was a wash. Make sure it has adjustable straps made from either leather or straps that securely buckle, snap, or velcro in place. 

For women, the first time you use a harness may take a little getting use to. It took us guys a little effort to get the knack, and we have a significant advantage. Unlike having an actual penis, you have no actual feeling in the dildo, so you can't actually feel the dildo going in or whether you have hit the correct angle. Figuring out the correct angle is even more difficult, since you are using your hips to push rather than your hands. It will help if you use a firm rather than a floppy dildo, and a longer one will be easier to control, as some of the length gets lost in the harness, and it won't keep plopping out as you master the hip movement. Use your well-lubricated fingers first to feel the proper angle, and guide the dildo in using your hands. Thrust a few times while still holding it so you get a better feel for the proper hip movement, then you can let go and fly solo.