I buy mini split rings from the local Ben Franklin. They look like this. I forget the brand, but I recall that Michael's also carries this item in their bead/jewelry making section. They work on up to a US size 8 needle, which is fine because I often use them with my lesser-gauge dpns.
For the wire, I usually buy head pins, and just crimp the end into a circle for slipping the mini-ring onto. If you want to hang some kind of small charm or pendant on the tail end of your marker, I recommend using eye pins instead. Make sure you crimp that bottom eye well or you'll lose your charm! I have a coldheat solder tool that I use to seal the gap if the charm is heavy, it works great.