If you've got a surface pro, you're likely resigned to lose your 30$ pen because the pen holder is magnetic, and doubles as the power plug connector. Today, I installed a low tech, kick ass solution.
This Self sticking pen loop can be installed on to your keyboard in five seconds, and holds the stylus securely. Once you have the pen loop, you can also look at alternate stylus.
The surface pro is a standard Wacom digitizer so all Wacom stylus work. I now use the bamboo stylus. It's heftier then the surface pro pen, and feel more like a pen in the hand. The downsides to the bamboo are that it doesn't have the magnetic attachment and it doesn't have an eraser. The self sticking loops solves the attachment problem, and I never use the eraser.
So, next time you lose your stylus, pick up a Self sticking pen loop and a