I've used a Jabra BT200 for the past couple of years, and most of the time I used to simply leave it on my ear... It looks a bit geeky, but not nearly as bad as many of the alternatives, and I found it actually quite comfortable to wear.
I would generally take it off in situations where it was inappropriate to keep it on (meetings, in restaurants, etc), in which case I would just put it in my pocket.
On the other hand, I upgraded to a Motorola HS810 just a couple of days ago, and it comes with a lanyard and a belt pouch. There's
no way I'm going to walk around with that one on constantly (see "geeky" above...
), but I find that the belt pouch works quite well. I'm not sure I'd use the lanyard much, but it might be useful in some situations.
In fact, one of the reasons I bought the HS810 was for the flip-on/off capability... That one feature makes it one of the most convenient headsets to use if you're
not going to regularly wear it.