After years of loosing chuck keys, trying all the various leashes and keepers I found the answer (for me).
I took the magnets out of a dead computer hard drive. They are small, flat, and very strong. Stuck to the drill press or lathe head, they stay and hold the keys.
It is a simple matter to pick off the key, use it and just touch it to the magnet which stayed where it was on the drill press housing. The flat magnet has a stronger hold on the drill press than the irregular shape of the key.