I lose caps to USB devices. I'm amazed that I haven't lost the devices themselves.
To help me fix this, Kristina drilled holes in the caps of my two, USB key drives, and then attached the caps to the drives with dental floss, which is hard to break.
The drive I use to back up this Linux laptop is on a lanyard, looped around the iBook next to it. I pop off the top, stick it in, do the backup, then unplug and recap it.