I've heard you can buy lanyards in Wal-Mart. I think there is a post on the Collector's board with more details.
I made lanyards for my family a couple of years ago, and it was very easy. I bought 1" webbing (non-elastic) and self sticking velcro squares from the fabric store. I also bought a pack of key rings for the bottoms. I used fabric glue to put it all together, including re-enforcing the self-stick backing of the velcro.
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