Step 1: Add Sugru
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.
Step 2: Make it hole
Step 3: String it up
Now go out and use your camera, safe in the knowledge that you can pop off the lens cap and not worry about where you put it.