There are lots of different sources for light pipe, and light pipe from different sources acts differently. This attachment method requires light pipe that melts at a fairly low temperature. These LED shoelaces work wonderfully for this.
I also tried using good quality LED light pipe from AliExpress. This stuff worked beautifully in that it carries light really far -- this light pipe looks gorgeous for a couple meters whereas the shoelaces really only look good for about 2 feet. But.. the good stuff doesn't melt the same way.
If your light pipe doesn't want to melt, you can 3d print a case that will work just about as well:
.. or you can order one printed for you from Shapeways.
If you're going this route, check out this guide about making a 3d printed case that holds the light pipe in place. If you've got the melty kind, read on!
Trim your light pipe to the desired length (I cut each shoelace in half). Gently heat the end of each piece with a heat gun until it just barely liquefies.
Position the light pipe over one of your neopixels and press down so about 1/4" of the light pipe melts over and around the pixel. Make sure the pipe is glowing brightly, so you know you're centered on the light.
Once the light pipe is cooled and solidified, gently pull it off the neopixel. Add a dab of superglue to the inside and press it back down, lining up the indentation so you get full contact with the LED.
Once the superglue is dry, tug on the light pipe gently to be sure it won't come loose. The superglue holds it really well! I tried to remove a piece of light pipe and ended up breaking the neopixel before the glue gave way.