We include baby bracelets in our bereavement layettes sized to fit the baby's wrist - even down to an 8 oz baby. The bracelets can be kept by the parents in the keepsake box or envelope.
Here's a site that sells bracelets that look very similar to the ones we make.
We use beads that are readily available at Walmart, Michaels, JoAnn's etc, include an appropriate charm (cross, bible, booties, heart, etc) when we can find them and use elastic thread so we don't have to worry about clasps.