I have seen similar tutorials on the web but all have required you to drill through a lego piece. I just couldn't bring myself to do that (!) but thankfully I found the perfect bit to attach the key to (lego part number 3176). (I’ve just ordered six more through ebay so we can make a big one ^_^).
The great thing about this tutorial is that you can have fun customising this keyholder in any way you want...it's also very simple and quick to put together.
We used some foam sticky pads to stick the baseboard to the wall but you could superglue neodymium magnets onto the back of the baseplate instead and attach it to your fridge.
Happy Fathers day to all the Dads out there!