Buy some running shoes...
My son is now 3 and has been a "runner" all of his life. At 15 months, or 18, or even 24 months, he really did NOT get consequences so I couldnt really teach him not to run away - I coped by:
1)keeping him a stroller or sling or harness
2)Playing with him on the playground
3)Avoiding dangerous situations
4)Accepting that getting wet, muddy, etc is a fact of life
5) Staying at home. :(
Everytime we go someplace, I tell him and/or show him where he can play, and where he can NOT play. If he goes to the "Not" part, he gets time out. At home, if he leaves the yard, we go back inside. At the playground, if he leaves the play area, he gets put in the stroller for time out. If he does it again, we leave. That has worked pretty well since he was over two, but would not have worked for him at 15 months.
I think some kids are runners, and some are not - my daughter is 18 months and by my side no matter what.
Its frustrating with my son that I cant sit and leisurely watch him play, or trust him to stand by my side in a parking lot - I am EVER vigilant. I cant tell you how many times he has run off a playground, into a wooded area, and by the time i have caught up to him he is chewing on a cigarette butt or beer cap or zipped away at the mall, weaving in and out of crowds and hurling himself toward the escalators.
I get the screaming thing - we have left many places - grocery stores, parks, parties, etc due to screaming and your son probably does not get it now, but he will get it in the next few months.
Right now, you just need to do what you have to to keep him safe.
Good luck!