I recently purchased a Kel-tec P32, and I noticed on their web site they sell a neck lanyard to enable the P32 to be carried around the neck. Since it weighs under 7oz (I think), and is very thin, this might not be too bad an option. It wouldn't be quick to get at, but its something to consider. Anyway, I doubt that this was the lanyard option you had in mind, but it might be a little more practical than the traditional type.
Doug