Actually in the military it's pretty common practice to keep one's keys around the neck attached to their dogtag chains. For months that was my preferred way of keeping my keys about and it was pretty effective until one fateful day...
I'd gone to take a shower one late night in AIT (advanced individual training) and of course removed my metal dogtags and keys to get myself soaked and clean. I set my keys on an inside shelf of my wall locker and closed the lock on my doors.
I went and took my shower, enjoying the warm water and cleanliness that came with it, I'd completely forgotten about the keys and dogtags locked in my locker. I toweled off, wrapped said towel around my waist and walked into the bay to get myself dressed. Looking to my wall locker I searched everywhere around my bed, under and over it, around and everywhere even close by. Upon closer examination I realized "damn, I'm locked out".
After an extensive search for clothing and footwear I wound up walking to my sergeant's office in PT clothes and flip flops. Once I'd gotten there I dropped and did my pushups for doing something stupid and cut the lock on my locker. This happened several times over my four months at Ft Gordon.
After doing this enough times I learned the best possible way to keep your keys with you, hooking your dogtags around a belt loop, of course, until you lock your pants in your locker.