I'm on my third USB drive, and am trying to find one I won't lose.

I carry it on my keyring. I had one with the ring on the drive itself; that ensured I wouldn't lose the drive (only the cap), but it seemed to be a bad idea to suspend all my keys from the USB port (and too hard to pry the darn thing off the keyring everytime).

I've had two with the ring on the cap; this works fine for a while, but eventually the cap kind of loosens up and the drive can (and does!) easily fall out of the cap with normal use.

What I'd really like to find is a drive with some sort of positive lock into the cap - does anybody have any ideas?