I used to always run the strap through the belt loops (never the belt itself) if they were there, but I don't bother any more because it seems to be unnecessary. Keeping the sporran from hanging too low is accomplished by tightening the strap/chain. I don't want it more than about 2-3" below my buckle. And these days, I only wear a strap unless I am trying to look dressy.

I'm sure that several of the advertisers here could provide a very frine chain.