A lanyard is just a cloth "necklace" with a clip on the end for credentials or pin trading information. Lots of people use them at wdw for park passes, id's etc and many people also use them for pin trading.
Many people have found Pal Mickey cumbersome to carry and the belt clip dosen't stay clipped either.
For PM we use a water bottle strap, each park sells one unique to that park. They are worn around the neck and have an adjustable loop at the end to cinch up to the top of the water bottle. My girls love to collect them and wear the water bottles and we found they work great on PM.
For PM you can either cinch the loop around his head or over the clip on the back. My oldest is more comfy with the loop around PM's neck (uggh) but my yongest likes to use the loop around the belt clip.
I can't find a picture but I know the dis store here sells a lanyard if you want to see a picture.
TJ