I have worked games sans-lanyard and don't find it benificial to my game.
As an observer I don't particularly like it. To me, the mechanic of blowing and taking the whistle out of the mouth is a distracting extra movement.
I have a good friend that I worked with in 5 games over the span of a week ( 2 nights of 2-person HS JV/V Boys double-headers & a 3-person JUCO game). In the HS games he worked without the lanyard; come the JUCO game he uses the smitty and on an easy OOB call he almost rips his shirt when he moves his hand up to tug the whistle from his mouth. We were strong side on that play and I had a good look at his mechanics. I thought it was humorous.
