Eric Sande , Oct 09, 2009; 07:48 p.m.
I used those "cap keeper" things when I first got into photography, but they got annoying.
Surprisingly, once I quit using any kind of cap retention device, I've never actually lost a single lens cap. Pockets work quite well.
I'm sure someone here will claim that the first thing they do when they get a new lens is throw the lens cap in a drawer and leave it there.