Hey, hey, hey....that was my solution! If you never take it off, it never gets lost! Krazy Glue fixes any problem.
Another idea is you could make the cap out of glass -- shoot right through it. But that's already been thought of too, I guess!
Seriously, I'm surprised that so many of us do exactly the same thing. As soon as a cap comes off, it goes in my shirt pocket, right next to the business (such as it is) cards. Since I'm not in the business anymore, I just call it a "who the hell are you?" card. Then when they see my title is "Senior Ranger," they're so confused I can easily make my getaway. Street photography can be a cagey business, such as it is.
For me, this is a non-problem looking for an unneeded solution. But then, I also realize there were many people who thought swimming across streams was a refreshing break until the bridge builders came along.
How would you like it attached? Some Krazy Glue on the threads should keep it there permanently...
Like others, I put the cap in the same place every time. I have 'lost' one 77mm cap, but not because I misplaced it, rather because I dropped it (camera in one hand, toddler in the other), and it rolled between the planks of a boardwalk with no access to the space underneath.