I don't know the answer to your question..it would help me too since I've got this problem. So far here's my solution: I got one of the stant key locking caps, and then put the key on my key ring. When I remove the cap I leave my keys in it and don't remove them until the cap is back on. Been a couple times I've got into the car with the cap sitting on my engine cover, but, well, it's hard to start the car without your keys.
Haven't lost a cap since.
Haven't lost a cap since.