I wanted to post my how-to on finishing ends. For instance, with a lanyard. Here's what I do:
Take both ends together, and place a distance from the flame to avoid catching fire. You basically want to find that sweet spot between melting and burning.
Once both ends are basically molten and liquid, join together and wait until cool.
Viola! Sometimes I will take a small sanding block and sand down the "ring" that is created.
Here's another neat trick. You can take a tie your favorite knot (I use the cobra) right on top of the ends you joined. This adds strength and hides the joined ends under the stitch. This makes a nice way to finish off lanyards and key rings.
If anyone else has a better way to do this I am open to suggestions!