I also use a Peg umbrella in the parks and use Skip Hop bags because they attach to the handles, allowing the basket to be used for water bottles, ponchos and anything we might buy etc.
I was in Target today actually and saw that Skip Hop is branding a bag especially for them.They're about half the price of the regular canvas Skip Hops but they looked pretty good to me.
http://www.target.com/gp/detail.htm...-0410500?ie=UTF8&frombrowse=1&asin=B000PU3GVA