Replacing the gas cap itself is easy, of course, but the tether is a different story. I ended up removing the fuel cover hinge assembly, to discover how the retaining clip worked. It is a horseshoe-shaped clip with a thin metal piece in the middle. It is (a) very hard to figure out how it works by inspection from the outside, and (b) even when you have got it out, it's hard to release the spring catch. Now that I've got it out, and replaced it, I can see the the catch could be released by inserting a small knife blade and lifting it up, simultaneously pulling down on the clip to remove it from the frame. From that point, it's just a matter of cutting the old tether attachment out of the retaining hole, and inserting the new one.
Apparently they made this thing a lot simpler in the 2007 model!

 

Picture???

 

The metal spring is in the middle of the clip, and can be lifted with a small blade. You can then pull the clip out and down to remove the tether.