The original plan was to use an old Crown Royale bag, but I left the bag at a friend's house, so I went searching around the internet for other ideas.
I ended up combining these tutorials:
Donn Morrison - How to make a chalk bag
(Note: The safety pins popped out when I fell and skidded on the mat. Oops. I knotted the string and put the carabiner through that instead. To be real, I'm probably never going to make legit straps for it. Shrug.)