A friend of mine uses little velcro "buttons". He puts one of the loop buttons (the soft side of the Velcro pair) on the inside of the lens cap, and puts the hook button on the camera strap. They're both black, so barely noticeable when not in use.
He uses this method for all kinds of things : spare key for his truck, spare key for his house : He just puts them somewhere people won't think to look (I won't say where
...) Works well, he says...
I've been thinking about a velcro solution to the little filter cutout thingys on my Pentax lenses... I haven't lost one yet, but expect to at some point...