I think I'm right in saying that the ebay linked item above is non genuine. I haven't seen a modern genuine Nikon centre pinch cap with a tether cord so I would assume that any that have one are copies. The copies that I've used are okay but I've always found that they never feel quit right. They don't pinch smoothly and don't always sit neatly on the lens and are therefore prone to falling off.
Straight in my jeans back pocket for me. Not lost a cap yet, touch wood.
I have also have a mate who never fits lens caps at all and has some quite expensive gear. He just leaves the hood on in his bag and I don't think he's had an issue yet.