I had issues with those lanyards. First of all, you gotta buy one for each different diameter lens. That seemed silly to me. Secondly, if you buy the kind that tethers to the camera, changing lenses can get messy. If you buy the kind that tethers to the lens, attaching gizmos (like I do) to the lens gets messy. Then there's the problem of the dangling lens cap getting in the way of the shot. There had to be a better way.
So I did a little mental algebra and made my own. Not only does the leash attach to all my lens caps with velcro, but that same velcro attachment is used to stash the cap on the camera strap while I'm shooting. One Lanyard to Rule Them All (my pile of unruly lens caps, that is).
And before you start telling me how inherently flimsy this is, please see the disclaimer on the last step! ;-)
Step 1: Assemble Ye the Materials.
2. A couple feet of 1/8-inch grosgrain ribbon, or other sturdy string-like stuff.
3. Alcohol and cotton balls (or whatever) for cleaning.
4. Scissors you don't care about.
5. Small piece of coarse sandpaper for scuffing.
6. Sticky-back velcro for plastic surfaces.
7. Optional heavy tweezers or needle-nose pliers (not shown), if you don't have long, strong fingernails (I don't).