I use paracord. The ends are joined by inserting them into a brass tube (a .22 spent shell with the base cut off). I them pinch the tube with a pair of pliers. Works for me.
That is absolutely brilliant. So easy and makes so much sense.
Personally I don't bother. I usually hate having things around my neck anyway but the odd time I do (kayaking for example) where I am not wearing a belt then I simply tuck it all into my shirt or vest or whatever.
Getting choked out by a neck lanyard holds a very, very slim chance of happening IMO.