I know I'm a bit late to the party here, but attaching the lanyard isn't too hard. I had a bit of a facepalm moment when I figured it out.

Both the long lanyard and the smaller one with the mini-keyring on one end of it have a loop of think elastic/string at one end. If you pull that through the big hole on the Ledger Nano S, you can draw the rest of the lanyard through the middle of the loop, tying it off nicely.

I haven't quite worked out how to include a photo comment yet but hopefully that makes sense to any new/returning readers!