This past Christmas parade we tried something different...
We had the cubs walk in two columns, with a rope down the center. Each scout had a hand on the rope. We didn't loose a single scout!
Each scout carried a large cardboard square on his outward-facing arm (with a strap like a shield). They painted the cardboards to look like the sides of a viking ship (wood grain, round shields, etc.). The boys in front carried pieces that looked like a Viking ship bow, and the boys at the rear carried the stern piece of the Viking ship. A couple of Webelos in the middle carried a large sail.
It was fun for the scouts, and the rope definitely kept them in line. It didn't really fit the Christmas theme, but c'est la vie.