I have a lanyard on my little Fallkniven F2, which I use to give me additional and more stable grip on what is a very short handle. Depending on the knife, you need to make sure that the lanyard length suits your own hand. A lanyard can also be useful in pulling a blade (gently) from a tight sheath. As for cons, If you had a knife with a lanyard and didn't actually use it, you could cause problems if e.g skinning, where a dangling lanyard could just get in the way and become dangerous, or at the very least possibly contaminate the meat.
The knot I have used is called the Lanyard Knot (although it has other names) and you will find many tutorials on Youtube. Hope this helps.