I made some "speed" caps before I went capless. Poke a hole in the top of a green cap, run some heavy string through and tie it into a knot thick enough not to pull out. Cut the string long enough to be able to remove the cap, around 1.5" and then electrical tape the string to the tube. Then save for a capless rig.
With a dedicated pocket for empties the tube goes from my harness to my gun to my pocket without doing anything other than making sure the end of it goes into my gun right. I'll never use caps again, people seem so suprised when they complain how crappy caps are and I just smile and give them away for free. Welcome to PBMafia.com
Good luck with your caps!
EDIT: Poke the hole off center, as a knot in the center will hit the top paintball and not allow the cap on all the way.