The vinyl I bought was $1 or $2 for a sheet, and they had other colors as well. It's very flexible and the glitter stays on very well.
E6000 or other glue
rubber band (I was originally going to use a binder clip, as you can see in the picture, but a rubber band worked much better)
Optional: key ring or ribbon for attaching tassel
Cut a piece of the vinyl 6" x 3". Measure 3/4" from one edge, and draw a line across. Then mark 1/8" increments along the line. This is where you will cut the fringe.
You can adjust the measurements and cuts however you want, this is just how I did mine.
Cut a small piece (mine is 2 1/2" x 3/8") for the tag (is that the right word?) Glue the ends of the tag together, and then spread glue along the top edge above the line.
Start folding the tassel over, starting with the tag edge. At first it's very rectangular, but it will round itself out.