For completeness, though Im not necessarily recommending this...
In the NICU, they rolled up a receiving blanket, taped it as a tight roll, and then taped the pacifier to the end. It gave a good long tool to hold the paci close to our girl.
And though we use this, it's not without risks. In the NICU, the kids are on monitors all the time, so if there are any breathing issues they can address. Also, since they're on monitors, they let them sleep on their stomachs and sides a bit, so the pacifier/blanket is less likely to be popped out.
Though it's a risk, we feel it's lowish risk. The blanket roll is too big to get in her mouth, and rolled tight enough that it's not soft, so will not cover her nose. We inspect the tape every time to see if anything is loose. And she can't sleep without a paci at this point; so it's either this, or no sleep for her, which is a health risk in itself.
We also use the wub-a-nub that @gaosan80 mentioned. We have a broad spectrum of pacifiers, depending on situation.