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.
Step 2: Re-sealing the Loop
Step 3: Putting It Together
Step 4: The Finished Product
That's it! Total cost: nothing. Everyone has a keyring or a clasp-type thing laying around from the five million freebies you get with everything from a fill-up at the gas station to a case for your phone or mp3 player. If you save stuff like that, you're good to go. If you had to buy one at the hardware store, I imagine it might cost $0.50 or so. Add a half-drop of superglue and the lanyard that Apple already supplies and you have yourself a nice cap you can clip onto your keyring.