Hi Ana,
Disney does not automatically provide you with a lanyard, but there are many available for purchase at the Disney parks and resorts. As an example of the type of thing they sell at the parks, you can look at this lanyard on the
disneystore.com website. You would likely want to accessorize your lanyard with a
lanyard pouch that could hold your card. You could also buy something similar less expensively at an office supply store such as Staples.
I generally just keep my Key to the World card in my wallet in my backpack or purse. Think about your daily life, you probably carry around a number of cards every day without losing them. However, if you were to lose your Key to the World card, you could just stop by any park guest relations office or hotel front desk. They would be able to immediately cancel your old card and issue you a new one. I have several friends who have been in this situation and had everything taken care of within minutes. No worries.
Good luck with your planning. Please let us know if you have additional questions.