Our first 4 children used a fancy plastic highchair that I got at my very first baby shower. It had a doo-hickey that went in between the baby's legs for the tray to attach to that made it impossible for the baby to squirm out.
You know, when they do that melting butter act when they want out of your arms? They also try that in car seats, highchairs, and basically anywhere they don't want to be. Anyway, the doo-hickey worked great to keep them where they were supposed to be... until it broke sometime after baby #4 started using it. After that, the tray would fly off with the slightest push.
Then, my mom offered to give me the antique highchair that she had eaten in when she was a baby. She had also fed my sisters and me in the same highchair. It is beautiful and I'm so glad to be able to feed my babies in such a special chair.
The only thing it needed was a doo-hickey. So I made one out of a couple of handkerchiefs I had from an overly ambitious cowboy theme decorating project.
One end is tied to the highchair and the other end is wrapped around the baby's waist and also tied to the highchair. We call it "the contraption", and it works for me!