Lanyards are cheap... in the $2-$5 range apiece.
At that price, you can afford to buy one of every style and length and see what works best for you.
Personally, I wear the clip-to-the-shirt type lanyards for basketball, because I don't like the feeling of the lanyard around my neck.
For football, I wear the Honig's extra-long lanyards, because I like being able to run with the whistle in my hand instead of in my mouth (I can tuck the lanyard into the collar of the shirt, so I don't feel it on my neck).
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