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I assume using something like these
http://wireropeshop.co.uk/wire-store/index.php?main_page=index&cPath=1_65
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As per Aroogah's link, I used ferrules. I don't have a crimping tool, so I lay it on a bench vice and used a blunt cold chisel and a hammer to crimp them.
I can loop it up into a circle of about 15cm that can then be pushed into an oval as my pocket is rectangular. As it is wire rope it does have a bit of spring to it so it isn't as "squashable" as other alternatives.
For bikepacking I have a hardware store DIY job: ~80cm of 3mm-5mm braided steel cable that I have crimped to have small loops at the ends, and a tiny but good lockwood padlock (basically the size of a luggage lock).
Allows me to loop it all up and slide it into the map pocket of my frame bag, is light enough, strong enough to be a hassle to any would be thieves at an isolated campsite. Can loop it through frame between frame bag, and through wheels.