Here are a few links that might be what your looking for.

http://images.google.com/imgres?imgurl=http://www.absolutecigars.com/images/Accessories/9788_Lighter.JPG&imgrefurl=http://www.absolutecigars.com/shop/search.cgi%3Fcategory%3Dlighter%26catname%3DLIGHTERS&h=191&w=242&sz=47&hl=en&start=37&um=1&tbnid=j2HS0Slk9PaDIM:&tbnh=87&tbnw=110&prev=/images%3Fq%3Dkeyring%2Blighter%26start%3D20%26ndsp%3D20%26svnum%3D10%26um%3D1%26hl%3Den%26client%3Dfirefox-a%26channel%3Ds%26rls%3Dorg.mozilla:en-US:official%26sa%3DN


http://images.google.com/imgres?imgurl=http://www.wildcatcommerce.com/productimages/medium/26/stormlighters.jpg&imgrefurl=http://www.onelifeoutfitter.com/catalog.php%3Ftype%3Dproduct%26id%3D948&h=150&w=150&sz=5&hl=en&start=110&um=1&tbnid=PAJDM6XuNLLtbM:&tbnh=96&tbnw=96&prev=/images%3Fq%3Dkeyring%2Blighter%26start%3D100%26ndsp%3D20%26svnum%3D10%26um%3D1%26hl%3Den%26client%3Dfirefox-a%26channel%3Ds%26rls%3Dorg.mozilla:en-US:official%26sa%3DN

Or these guys have a good Idea.

http://images.google.com/imgres?imgurl=http://podbelt.com/img/lighter-clr.jpg&imgrefurl=http://podbelt.com/buypod.html&h=477&w=687&sz=60&hl=en&start=147&um=1&tbnid=PanfVPmqEPEIpM:&tbnh=97&tbnw=139&prev=/images%3Fq%3Dkeyring%2Blighter%26start%3D140%26ndsp%3D20%26svnum%3D10%26um%3D1%26hl%3Den%26client%3Dfirefox-a%26channel%3Ds%26rls%3Dorg.mozilla:en-US:official%26sa%3DN

Or there are a lot of bic lighter cases either leather or plastic on Ebay that have keyrings attached.

http://cgi.ebay.com/ws/eBayISAPI.dll?ViewItem&item=190168005834&fromMakeTrack=true&ssPageName=VIP:Watchlink:middle:us