A pool I used to swim at had locker keys mounted on big safety pins, repeatedly pushing the pins through the fabric of my Speedos would result in a hole, but the safety pin was large enough to pass over the narrowest part of my speedos at the side only slightly moving the fabric.
There are other ways of keeping keys: on a string or chain around the neck or in wrist or ankle bags (that can be found on Ebay. My running shorts don't usually have key pockets, rather than wear bigger shorts I carry just my door keys around my neck.
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