I use a dummy lanyard.

Take about two feet of thin cord. At one end, tie a two inch loop (bowline) with one or more items threaded onto the loop such as a pocketknife. At the other end, tie a two or three inch loop (bowline again). Girth hitch/lark's head the unladen end to your belt or belt loop, dropping the laden end through. A girth hitch - to make it clearer - just slide the loop around your belt and drop the knife through the loop. This leaves you about 18 inches to work with said tool, and it's quick to detach from your belt if you need the extra slack. Stick the knife in your pocket, and you won't ever lose it.

I actually have 3 lanyards, and I think that's all I need. One on my left side holds a whistle and a photon LED. They are held on and separated by overhand knots to avoid them jangling together and making noise while I walk. On my right side, one lanyard holds my pocketknife, the other holds a lighter. Whichever pants I attach them to, I jokingly call my "survival pants" <img src="/forums/images/graemlins/grin.gif" alt="" /> The items jangle less when I hike, which is very very nice. If they fall out, I notice almost immediately from the weight shifting. I found the only time things fall out are when I get in and out of a hammock or go nearly horizontal with body position. I use pretty heavy cord at 300lb test, 3mm thick or so, and each lanyard weighs 0.1 of an ounce. Yes, I weighed them! With thin line I imagine they'd not even register on my scale.

I learned this trick online from one of the Jacks (JRB), who in turn said it was taught as an old Army trick to avoid losing items at night, under attack, etc. There was a hilarious thread on BPL with hundreds of little plastic gizmos suggested to serve this purpose, when a length of short line and the right knots does the trick. Nobody seemed interested in the simple solution as opposed to buying little plastic breakable trash <img src="/forums/images/graemlins/laugh.gif" alt="" />

(edit) The best, best, best effect of this is that my whistle is attached securely in my pocket. Before, it was on a line around my neck, under my shirt. It posed a choking hazard, but more significantly it looked like I had a bright orange third nipple in the middle of my chest! <img src="/forums/images/graemlins/crazy.gif" alt="" />

Any fastening method has to pass the 'jangle' test for me. It drives me nuts when things jangle together and make noise while hiking. If I can get them to stay quiet while I jog or run, so much the better. With the lanyards, it's much quieter.