I did this a while ago. You can
see the results here. I used "Weld Stick" and two electrical terminal connectors that were epoxyed together. The weld stick is like putty but dries as hard as metal. I also tried epoxy to hold it together, but for all the torque that is put on a keyring, it just didn't hold at all. You can see the residue of the epoxy in the one corner of the chip from this failed experiment.
I originally tried to just use the weld stick to stick the ring to the chip, and it worked for direct forces, but any shearing force would break the seal, just like the epoxy. However, wrapping it around the other side of the chip (you can see it) worked just fine, and it's held like that for over 3 years. I too found it impossible to drill. Before doing this, I ripped off all the pins with a pair of needle-nose pliers
The chip is an Intel 486 DX2/66 overdrive chip that I picked up for $3 at RadioShack when I worked there. I found it in the back of the store, told my manager that no person on earth would buy it (even in 1998) and he sold it to me for 3 bucks. I bought it solely for the keychain. Good luck!
(link corrected)