I use 3mm utility cord around my neck.  I will tie in key with a [Girth Hitch][1].  Or tie the key into the necklace.  I use a [double fisherman][2] on the cord.

If you are going to practice webbing knots like water knot then you need webbing.  

For hitches you can typically find something to tie to.


  [1]: https://www.netknots.com/rope_knots/girth-hitch
  [2]: https://www.netknots.com/rope_knots/double-fishermans