Agree to keep an extra key. Freeze it into a block of ice so you can't just unlock yourself on an impulse.
My experience with male devices is that anything other than a custom device is just for fun. If you really get into it, I say to save for a custom belt.
On the cheaper side, if you are okay with a piercing there is these devious little devices
http://www.steelwerksextreme.com/female-chastity One called the zipper that requires multiple piercings, and one called the hood which prevents stimulation of the clit.
The real hardcore ones are from Germany
http://www.neosteel.de/Nsepmain.htm