I bought those big monster clips that they sell at Home Depot. Not sure of the exact name but I think it's called 'Carry Alls' by Work Force. They resemble those little clips that come in different colors that you use as a keychain that you can clip to your belt or bag. They really came in handy by just clipping it onto the stroller and then you can clip your bag to it and you can quickly release the bag when you're going to go on a ride and have to bring your bag with you. Just be careful not to overload it, though, because once you take your child out of the stroller it will flip over if you don't release your bag first. We also used it for clipping together all our 'little' bags when being transferred to different hotels. One more thing it came in handy for was that my husband had one clipped to his backpack and anytime our 3 year old decided that she didin't feel like carrying her little spongebob backpack (which was very light with just her jacket and a few toys in it) he would clip it to his backpack so it wouldn't get lost.
That is a great idea and maybe easier than what I do. I use the baby chains (for toys) to connect everything to my stroller. I have at least 3 on for toys and bags all the time.