Step 1: Contents – What Goes In

Determine what you want in your multikey. This is a very personal matter, but I'll include my thoughts and tips.

Drivers

Phillips No.2 is the most common, so I went with that
Slotted gets used as a pry-bar as often as a driver.
4mm is a must as it fits all the following:
- Most IKEA fasteners, allowing you to fix your friends wobbly furniture prior to sitting on it
- Many adjustments on a bicycle
- Approx equal to 5/32" hex, which is used frequently in 80/20 aluminum structures
5mm is mostly for my bike, for seat post, brake, and handlebar adjustment.

Flash Drive

Pick something rugged, I had a LaCie IAmAKey laying around, and it has survived about a year.
Be sure to position it so it will actually fit in your computer
Be sure to load it with a Owner_Information.txt file so it can be returned to you if lost.
I engraved mine with a name and number, but it is illegible. If you manage to read it, try not to call at night.

Keys

Most of my keys do not belong to me. They belong to landlords and employers. Most other multi key solutions that require the mutilation of the key with Dremels, which is not an option for me.
If you can cut the grip of your keys off, your multi key will be much smaller.
A version with wingnuts and wingscrews would be great if you are constantly changing keys.

Considerations

I intentionally did not include any sort of knife. This is for several reasons, from pocket safety to air travel.
A flashlight would be great.
A lighter or firesteel would also be pretty cool.
I open boxes with the slotted driver.
I carry this alongside a multitool. I have a Leatherman Crunch that lacks a nice screwdriver, but has amazing vice-grip style pliers and 3 slotted screwdrivers
I tend to keep mine in the 5th pocket of my jeans.

Step 2: Materials - Things You May Have to Buy

The Structure

You have several options:

Start with a bike tool
Start with an allen set
Fabricate your own

Ideally, you'd start from a bike tool. They include a lot of the tools you may want and is designed to be carried around all the time. Also, some of them are very pretty. There is a wooden-sided one here.

Amazon Search of candidates

The structure of my multi key is from a cheap Harbor Freight set of hex keys/Allen Wrenches

The original wrenches themselves are horrible. Mine snapped after a day of use, and the sides are just aluminum rod with two holes drilled.

My hex keys screwdriver and bottle opener came from a Topeak bike tool I had laying around.

You could also just drill two holes in some metal. Aluminum, steel, whatever. It is a very simple part.

Nuts + Bolts

The bolt that comes with your bike tool or allen set will not fit through your keys.

To be sure that your bolt will fit through all your keys, a smaller bolt size is ideal.

I used #8-32 Stainless Steel Machine Screws + Nylon Locknuts of the same size and material.

Metric equivalent is M4. Any hardware store should be able to help you out. Locknuts are essential of you do not want to lose your keys. I went with very long screws and then cut them down to size.

I recommend stainless steel, as it is very strong and corrosion proof. You are likely to need washers of the same size. Plastic spacers(nylon, PFTE, etc.) can be used to separate keys and prevent rubbing, but I don't find them necessary.

Cost

Total cost is dependent on what you have on hand.

Hardware can be as much as $5, and a bike tool can be in the $10-25 range.

Step 3: Arrangement

Putting the tools in a good order takes some trial and error.

I put my most used keys on the edges for easier access.

The flash drive if included should be positioned such that it will fit into your computer. The version in the photos requires my mac to be propped up.

I put all my keys on one end and all my not-keys on the other. This way, there is a thick and thin end.

Step 4: Assembly

Once you have picked an order, tighten it down. Too tight is difficult to use. Too loose can be jingly and wobbly.

Find a balance.

Note that if you aren't using lock-nuts or thread locker, your tool will definitely loosen over time. This can result in a pile of loose keys on the street.