The strap I used came from a sleeping bag I think. It's been kicking around for a while because I knew it would come in handy. You should be able to pick one up at camping store or sporting goods store. Nylon is good and the stronger the clip the better.
Wrap the pronged end around your messenger bag's strap then cut it leaving a good 4 inch tail. In order to keep the freshly cut end from fraying it's good to burn it. I used a "hot knife" which is the right tool for the job but scissors and a lighter work fine too.