Even at the Roman Basilica of Saint Mary Major they still have a Grand Marshal of the procession for solemn events (it used to be a member of the old Archconfraternity there, but today is just a security guard with a wand).
The Grand Marshal always led the procession. They were sometimes ex-military and acted as a guard.
See an example in this London film clip as the man leads the procession at 01:19: http://www.youtube.com/watch?v=XgBLb4g-Dk0.
Sunday morning I found myself attending Mass at a church in a small town outside Rome and thinking how valuable a Grand Marshal (or ushers) are as two intoxicated homeless men entered the church during Mass and began to approach each of the faithful down the aisle for alms. Many gave one of them change and nobody said a word. Until I escorted them out.
What did you say to them? La colletta è finita. Andate in pace? ;-)
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