Fortunately I've not lost my cap yet, though I can see your point. Some people have the lanyard cap with a key-ring through it attached to keys/other, a small tug or knock and boom, there goes your shuffle.
Yeah, I've never done the lanyard thing. I've wanted to put it in my pocket at times, but it's long enough to where I'd worry about busting it in half if I sat down and bent it funny. The size of this new one is perfect for the pocket.