This would be possible to add something by just slightly unscrew the thumb rest, then use a loop attachment like what is used for strap attachment on wiimote or similar devices:
https://www.nintendo.com/consumer/systems/ds/images/strap_2.gif
You do not need to completely unscrew the thumb rest which would avoid any trouble when trying to put back the thumb rest screw.
By the way, if the concern is to avoid the fall of the Sylphyo, such a wiimote strap would do the trick.
Z