What we do that might work for you.......
When we have a bunch of broken crayons, I get a cheap foil cupcake pan from the dollar store and we fill it up with the broken crayons. You might need to break them a little more so the all fit in. We play with the color combination so we have yellow with orange kinda thing.... Then pop them in the oven on low heat until they are melted. After they cool, you can just pop them out and voila! I am thinking if you put a ribbon or yarn into the crayon when it's still wet, it would dry and be solid with a string attached. I haven't personally added the string, but I think I'll give it a try, my kids always drop their crayons when we are in the van!