No doubt a screw-in cap is most secure, but for convenience if using a lens hood, Nikon caps work nicely, since they install in the hood either when it's nested or when it's in place. When traveling and taking the camera in and out of a case that can be pretty handy.
I have had good luck not losing caps except for forgetting which pocket I put them in, but some bayonet hoods seem to fly off nearly spontaneously.