I always lose my lens cap and really don't like those lens cap keepers so I searched online and found this awesome DIY tutorial by Benny Johansson.
Here's what you need:
~plastic piece (I used an empty shampoo bottle)
~hair rubber band (thick one)
~drill (yep you have to drill 2 holes in the lens cap...eek!)
~glue gun (I glued together the ends of the rubber band instead of tying a knot b/c it fit better that way for me)
See the link below for detailed directions:
It is really pretty simple. Took me about 20 minutes from start to finish.