Step 1: Buy the Materials
I wanted something that I knew the strength of. 50 feet of pre-packed cord with a tensile strength of 375 lbs is perfect. My weight is 175 lbs, definitely strong enough. It's feels a lot like paracord, and my guess is that paracord would do just fine.
I bought three wire gate carabiners, but they're not the rated kind. They are the keychain kind, and aren't climbing rated. I didn't see the need to spend 3 times the money on something that is certified, tested, with traceable metallurgy for use in a situation that is unlikely to encounter more than 250 lbs. of force.
You can pony up the cash for the climbing rated carabiners, but keep in mind that even though these are the keychain carabiners, they aren't the pink anodized kind with the wimpy gate you find attached to a flashlight next to the register at Lowes. These things are beefy. I've tried everything I can to break them, and even one will hold my body weight, and not deform.
I got this thing about a year ago (from REI as well), and I use it here simply because of the handles. I just clip in to the handle loops. I can un-clip it and do all my other workouts with it too. I didn't want to dissect it and cut the handles off the band because it would render the band useless. Instead, just clip in, and work out as usual. The band doesn't provide any resistance, and can be worked around no problem.