Lex Jenkins , Dec 27, 2008; 06:54 a.m.
Some folks solve the problem by using a sort of lens cap leash. One end has an adhesive dot of plastic that attaches to the front of the lens cap. The leash is either wrapped around the lens barrel or strung through one of the eyelets for the camera neckstrap. I've used several versions of those leashes. Almost invariably they get in the way when I'm working quickly.
Usually I just put the lens cap in a shirt or pants pocket. Sometimes in the camera bag. Depends on what's handy. Depends on the situation. When shooting events I leave the cap off the entire time. So far I've lost very few, if any, original lens caps.