This is very easy and cheap, will only take you about 1 minute or so.
What you need:
LEGO man or brick.
Hook thingie (look at picture).
Chain thing or string, just something so it can stay on a key chain.
P.S: Sorry about the blurry pictures, I couldn't find my camera so I had to use the webcam.)
Step 1: Screwing on the hook.
You need to screw the hook into one of the little holes in the figure's head, and then screw it in.
The head MIGHT pop up so then you have to unscrew a little, push the head down and hold it really tight, then screw it inside until it stays.