this isn't really so much of a "how would i accomplish this?" instructable as a "oh yeah i could totally do that!" instructable.
lego makes keychains by the way that are part of a key holding set, but pbth!
Step 1: Get Your Stuff Together
a lego brick
a fork you don't mind wrecking
a length of beaded chain (the chain on ceiling fans)
Step 2: Make Way!
then heat it up for a bit. maybe 25 seconds? maybe 15? it doesn't take much
then jam it through from the bottom so you know it matches up with the tube on the bottom. spin the tine until there is a hole the size of the tube on the bottom
Step 3: You're Done!
instead of beaded chain, you could also use a piece of leather, string, human entrails, whatever you want!