Multimeter probe caps are good to have because they keep probes clean and also keep me from poking myself badly sometimes, clumsy as I am. But they are small and round - everything that it takes to go lost. Something has to be done.
Get some air curing putty that can adhere to this plastic in question. Or modify the idea with just glue and piece of some other thing.
If you happen to be used to wrap your multimeter into rubberband as I do then a piece of string can help even more. Or if you don't you can also start doing the wrapping thing now :)
Step 1: Put the Two Small Ones Together to Form Bigger Thing
Using putty or some other superuseful things attach the two caps to each other in such a setting that probes can be inserted into them. Probes tend to be wider than caps, so there has to be some distance.
For even better lostproofness make a hole into this combined cap.
Step 2: Put a Leash Onto Them
If you made the hole - put a string through it. Attach the other end to something that won't run away if scared.
If you use the rubberband or just got talked into using it then put the string around rubberband and you will have all accesories together - just one sheep to keep an eye on.
Live the rest of your life with peace of mind.