Noticed this write-in tip from Matthew Hakeman in the most recent issue of The Family Handyman. Googling discovered the title image in a thread over at GarageJournal.com, from user evintho. Looks like he’s put a metal strap around the key between the handle and the teeth. The illustration to right is from WoodworkingTips.com, and shows an alternate method for attaching the key ring to the chuck key using a short wooden dowel.
I like this tip a lot, and I happened to have one of those retracting spring-reel key rings lying around, so I tried it on my own small drill press, as shown in the picture below. I was able to use a small split ring to secure the chuck key at the end of the chain. Figuring out how to get the split ring in place without taking the chuck key apart is left as a homework assignment/tavern puzzle.