This instructable is intended for the I could make that contest.
For a while I have been intending to make a key holder out of a folding allen key tool, replacing some of the allen keys with actual keys. The aim being to have a nice compact set of keys, with no sharp edges to wear through pockets.
However I recently came across this
Key Holder
which coupled with the current I could make that contest running, and my long overdue intention to stop lurking and make an instructable made me decide to go for a leather design.

First off things you will need:

Ingredients:
Leather
Interscrews ( I used these)
Snap fastener (or other closure method)
Washers (Optional)

Tools:
Scissors
Dremel (Optional)
Super Glue (Optional)
Paper (Optional)
Calipers (Useful)

The leather I used was a leather patch designed to be sewn onto a garment, this was restrictive in size and also wasn't as stiff as I would have liked. I would recommend spending more time sourcing your leather than I did.

The Interscrews and washers can be cannibalized from a cheap folding allen key tool such as this

Step 1: Prepare Keys

To get started, check that your screws fit through the holes in your keys. If they don't fit then you can widen the hole using either a file or a grinding bit on a dremel. If you are doing this to a car key or other key containing an RFID chip or similar then be careful not to damage the chip.

Step 2: Draft Design

This step is not essential, but will result in a much better finished project.

Using paper in place of the leather, draft your design and see how it works, then edit it until you have a design you are happy with. If you, like me, are limited by the size of your leather, I suggest tracing around your leather onto the paper so you don't make a design you can't realise.

Once you are happy I suggest measuring your design and re-drawing it, try to build it up using simple shapes that you can repeat, this means you will end up with a much more symmetrical and aesthetically pleasing finished design.

NB:
I recommend spending a while on this stage, try out lots of different designs and ideas.

Step 3: Transfer to Leather

First take your final design and trace around it onto the leather, I suggest laying the paper of the leather and going over the edges with chalk.

Cut out your leather and make necessary holes for the interscrews, I used a small drill bit to make a pilot hole then widened using a craft knife.

Attach interscrews with keys and fastener. depending on what you want you are potentially done now!
Read ahead for optional extras.

Step 4: Optional Steps

Stiffening leather:

If like me the leather you got was very soft you may find that it needs stiffening to give a satisfying feel. If you used thick hide leather this may not be neccessary.
I am no leather expert, however there are several forums online that can recommend stiffening techniques. Soaking in water and then drying out is an often recommended method that is easy to do, though gives varying results. I went for the easy method of applying a coating to the inside on sections I wanted stiffened, I recommend testing different options on offcuts. I tried clear nail varnish and PVA but found they didn't stiffen enough for me so used super glue, which worked surprisingly well. I chose to stiffen just the sides so there was still flex to allow the closure to move freely.

EDIT:

neo71665 recommended submerging the leather in hot wax, removing it, letting it cool and then buffing off excess wax. This can be repeated several times until the desired stiffness is reached. It also has the added benefit of waterproofing the leather. If I get time I will give this a go and upload another step with some more detailed instructions.

This instructable has some good steps on proofing and waxing leather which are worth reading if you want to give this a go

Adding washers:

If your keys feel too loose I recommend adding washers in between them until you are able to tighten the interscrews enough to restrict the keys movement.

Embellishment:

There are several great instructables on decorating leather, I recommend looking at a few of them if you fancy a slightly fancier design.
I particularly recommend:

https://www.instructables.com/id/Leather-tooling-punches/

and

https://www.instructables.com/id/Leather-Coaster/

Step 5: Finished

You are now done!

I have been using mine for a few weeks and found it works great, have yet to have any issues with it, so hope you have a similar experience.

If I had more time I would have liked to make one using thicker leather and a laser cutter, which would mean you would have a nice edge on the leather and would easily be able to embellish it with patterning. If anyone does this I'd love to see the result (bear in mind lasering leather is smelly business)

Disclaimer:

As far as leatherworking goes I have very little experience, please let me know if I have given any bad advice and I will edit accordingly.

Do be careful working with keys that contain electronics, they can easily be damaged and are not cheap to replace!