I actually got mine referb, so no lanyard, I had to use a string. I also am male, thus, no boobs. What I do is put it in a shirt pocket to support it (when I have an over shirt on, otherwise I look incredibly nerdy).
I also did find a small workaround. If I keep rotating the wheal in my pocket, without pressing hard enough for the fabric to follow, then it will slowly adjust the volume, but it doesn't work well with levies.