Personally, I wouldn't dream of going without a lanyard; any perceived benefits are far outweighed by the risk (launching my whistle into the stands) and likely expense (replacing "lost" whistles) I would incur.
No one in my area is going without a lanyard, and this is not an area where I would prefer to "stand out." Some (rightly or wrongly) look at officials going without a lanyard as show-offs and fad-chasers.
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Sprinkles are for winners.
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