Here's an idea. Tell him that if he wanders off from you while at WDW without telling you where he is going, even ONCE, you will IMMEDIATELY take him back to the hotel ROOM where he will sit in there for the remainder of the day, doing nothing but sitting on the bed, staring at the wall. No t.v. No gameboy. No books. Nothing. If he does it AGAIN, he will spend the remainder of the ENTIRE VACATION sitting in that hotel room, doing NOTHING. You and your DH will take turns sitting in there with him. And enforce it.
He'll stop wandering off. I guarantee it.
At home, tell him PRIOR to going into a store or whatever "you are to stay right next to me at all times. IF you wander off, even for a minute, we will leave the store immediately and go home, where you will go to your room and be on TIME OUT for the rest of the day (i.e. no "fun stuff"---t.v. video games, playing outside, etc.)"
Even if you are in the middle of your shopping, if he does wander off, drop everything, find him and LEAVE the store and take him home and follow through with the punishment. He needs to know that you are not going to tolerate this and you are serious about following through with the consequences you spelled out for him.