I made my own custom iPhone lanyard because I don't like putting my iPhone in my pocket or wearing it on my belt. I would miss calls with the phone in my pocket, and when I wore my old iPod on my belt I banged it on way too many things to risk doing the same thing to my iPhone. So my solution was to make my own lanyard and wear it around my neck.

I bought a 2-pack of the silicon iPhone covers at Walmart for only $15. They came in a variety of colors like pink, red, blue and black. The thing I liked about this particular case was that the rubber overlaps the front of the iPhone at the top and bottom by about 3/4" which pretty much guarantees that the phone won't fall out (ok, the price was quite nice too). There are lots of silicon cases out there that cost $20-$30 for a single case, but most of those only wrap around the front of the iPhone at the top OR the bottom, typically not both.

I got the strap at Walmart too in the fabric department. I think it's technically a ribbon. It's 3/8" wide or 1 cm. What I like about this strap is how thin and strong it is. The edge is smooth and doesn't fray. You could use a wider strap, but this width fits nicely down the side of the iPhone without wrapping around the front or back.

I hand stitched the strap onto the silicon case using crochet thread. It's a lot thicker than typical thread which helps prevent it from tearing through the silicon. I doubled up the thread instead of using a single thread and left a good 1/8" gap between stitches to make sure the thread didn't tear through the silicon. I stitched it to one side first, adjusted the length so it hung where I wanted it, then cut the strap and stitched it to the other side.

My last addition was to buy a silicon dock plug to keep the port clean and dry. I used more of the crochet thread to attach it so it doesn't get lost when it isn't inserted.
Buy a 2 Pack from Amazon