thats the way most referees do it in scotland, just be carefull when signalling i have seen referees signal for throw.corner then have to go and pick up the whistle which has flown out the hand, a bit embarrasingI always used a lanyard, it's great because you can never let the whistle fall, but it bothers me that I can't use my right hand while whistling (obviously same thing would happen with the finger grip)
So Saturday I'm gonna try to just hold two whistles in my hand (for better grip)