I think we might be talking about two types of lanyards...
The way I learned was from a American Girl kit long, long ago and far, far away. I did them out of plastic lacing like this: Lanyard Keychains
... well, except longer although I did some keychains too come to think of it. Now I'm wondering what ever happened to that stuff, lol.
My hubby wears lanyard things at work sometimes and I think they're what Judy described. Those would be simpler and a lot quicker I think since they're just one piece of ribbon.