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Picture of Sugru lens cap saver
When I switched to an SLR, I found I was always losing my lens cap, which wasn't a problem on my previous camera as it was attached to the body on a string.  I didn't want to drill a hole or permanently modify my lens cap, so I thought Sugru would make a good semi-permanent attachment point that wouldn't damage the cap.

Step 1: Add Sugru

Picture of Add Sugru
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I used black, for that professional look. You only need a small pinch for this, so you might want to save this for when you are already using some Sugru for another task. Alternatively, do something creative with the leftovers!

Clean the lens cap to make sure there's no dust or grease on it.  If your cap has a smooth surface you might want to roughen it up slightly with a file, knife or sandpaper to make sure there's a "key" for the Sugru to stick to.  Mine had a matt textured finish so I didn't need to do this.

Stick a smallish blob of Sugru onto the front of the cap, about half an inch wide by a quarter of an inch high.