The problem is, the caps that attack to keyrings are either stupidly expensive for what they are, or they come with a whole "case system" of lanyards and cases and crap we don't want. Since Apple included a lanyard cap in the box, I started looking around my desk to see what I could do. A few minutes later I had a working keychain cap.
Step 1: Materials and Step 1
Next, I trimmed the length so that it would make a nice, slightly loose loop when put back together. Basically it's just making the long neck lanyard into a little teeny loop.