I found some small clips at Fleet Farm for a little over a dollar. They looked to be about the perfect size for some lanyards which I've been wanting to make for awhile. They had black, silver, and a blueish one that changes color a little. I decided to try it out and see how it went. I think once a make a few more, they will get better, but I don't think it was too bad of a start.
Cut out 2 pieces of fabric (about 21x3.5 inches)
Put them together and sew short ends together. One side only!
Open it up (you'll now have one piece that is approximately 42 inches long) and fold it lengthwise. Sew along the long side, leaving about 1/4 inch hem.
Turn inside out and iron flat.
Sew along both sides (lengthwise).
Slip a keyring on the strip of fabric and stitch the two small ends together.
Bring the keyring back to the seam that you just stitched. Holding it tightly, sew alongside of it to keep it in place.
This is the clip I bought. You could just use the keyring, but I wanted something you could quickly attach/detach your keys with. Besides, who likes fussing with key rings, right?
Add your clip and voila! A custom lanyard is all yours.