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i connect them buy using another piece of string and doing square knots so when i pull the braided parts, it gets tighter or looser :)

You can also attach a button to one end and make a "buckle" / hole made of two sides of string, similar to the tutorial kama55 linked to. Then you just poke the button through the hole as if it were a shirt and it stays on but is easy to unbutton when you want to take it off.

@Tuketi,
that is such a COOL idea!!!
...gotta try that!

braid one end and tie it onto the loop on the other side
if you don't have a loop make one by doing over hand knots close to eachother