I've heard more problems than advantages to the leg-mounted approach, so I've discontinued it, personally. Instead, I have an Aqualung Mini Zac mounted on my low-pressure inflator hose, that works really well. And the Mini Zac is one the small knife I have found that has the best handle, so you can grip it securely.
For a few thoughts on the whole entanglement issue of leg-mounted knives, check out
this thread.