I like this soft nylon cord, http://www.nylonnet.com/merchandise/?item_id=1573&cat=473, but it is hard to grip. I tried a serrated cleat, http://www.thingiverse.com/thing:357450, but eventually decided the bollard-style cleat is more secure, so I kept the same footprint but replaced the serrated teeth with sturdy printable bollards.
The design is parametrized in Inventor, so can be adapted for other sizes of cord.
When you make the final loop, turn the loop over so it traps the loose end of the cord.