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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.
How did you crimp the ends to make a loop?