Isn't there a way to attacher the fur underneath the belt to your shirt, and then attach the belt to the fur? That way you shirt will be the thing "carrying" the belt, and it won't be able to fall down - the question is just whether it can be made to look natural.
Anyway good luck, the costume seems really awesome ^^
Currently planning/working on:
Supergirl (Adam Hughes ver.)
Babydoll (Sucker Punch)