We all have to figure this out at some point or another in order to use certain pieces in LEGO. Some learn how to wrangle the rope and string in summer camp, others with their shoelaces and other household objects. However, I'm betting that most first-time LEGO builders learned it their own way: the hard way.
Some of my first sets I've ever built - the Inventor series - required string for many a build, and let me tell you, it was hard finding a good knot meathod. Multiple times the string would just slip right out of it's knot, letting the swinging monkey plummet to the ground; and if I did find a working knot, I'd still have to take it down as soon as possible, as any tighter then knot got, the more impossible it was to undo it. I've lost plenty a good string due to this factor, and definitely don't want to risk anymore.
Considering LEGOs are all about constructing then deconstructing pieces to be just as usable as before, the same should apply to the string and the pieces it attaches to, too. And what better way to help newcomers to the element than to archive a thread dedicated to such info?
So, what works for you so far?