I actually have made a few in the past and sold them on my Etsy store. They are pretty easy to make!
Besides the findings for the keychain you are going to need
Hammer/Small Nail or a Drill with a very small bit (I use a hammer and I have done it so many times successfully, you don't really need a drill)
And some small screw in eyelets.
Take your nail and position wherever you want to have it in the pony. Start hammering the nail in a little bit. You only want to get enough to start the hole.
Once you have that take your little screw in eyelet and screw it into the poor pony's head. The plastic is soft enough that you should be able to just keep twisting and twisting the eyelet until it is secure into the pony's head. If you need to you can use pliers to get it in there really good.
And that is pretty much it! From there you can use it as a pendant, keychain, or whatever you want.
Hope that helps!