You have something quite small that you want to carry around with you all the time, but really don't want to lose. What should you do? Wear it!
Let's say that you have data needs for which you carry around USB flash drives. When they're small enough, like the Maxell Onyx, they often come with a cell phone charm finding. I don't know about you, but my iPhone has no place to hang a cell phone charm from and none of the cases for the iPhone has one either (I probably wasn't looking hard enough). I've already ruined a Verbatim Tuff 'n' Tiny on a key chain, so somewhere the device would see less wear would be better. Since I usually wear sleeper earrings, I thought: removable earring dangle.
Step 1: Basic Earring
Using a small type of jewelry clasp such as a spring ring or lobster claw, attach clasp to USB drive with a jump ring, and attach jump ring to earring, and you're ready to go.
Step 2: Decorated Earring
If you want to be more subtle about it, add some charms or beads to the proceedings. Here I beaded some jump rings and just joined them together in a nice decorative mass and added them onto the clasp along with the USB drive.
If you really wanted to hide the drive, you could bead around it entirely. A loose fringe would hide it while hanging, but allow quick access to the drive when needed.
Step 3: Going further
If you don't usually wear sleeper earrings you could easily consider the earring dangle as a pendant for a necklace or charm for a bracelet or brooch. Actually, a necklace or charm bracelet would probably be better solutions if you need to carry around more than, say, 4 USB drives.