Try the method used for the old fashioned British Police truncheon and perfected over many centuries.of having to retain something important but also having the option to let it go....
Loop through the lanyard hole should be long enough so it can fit across the back of your hand once looped around your thumb.
A good firm grip is afforded, no excess danglage (is that a word...it should be) and you can retain it by the thumb if it slips but equally let it go in an instant.
+1 for orange cord, Swiss Army Knives were bright red for a reason.