Yeah, I usually do that but while walking around with the CPL on the camera, I have to be very careful to ensure I do not drop the lens cap. It is a bit of a pain...
alternative is get those 3rd party lens cap with string attached. something like this, lens cap will still fall off, but its still secure onto the cam at least.
last resort will be to sell it for another brand of slim filter, iirc some brand have got normal screw thread on their slim-profile cpl.
i will suggest to get a third party lens cap. some of them the two spring loaded extending part really do extends out quite a bit that i'm sure it'll sits on your lens tight.