Would my having the properly signed copy of a DNR on my person at all times (along with some kind of placard to indicate where on my person it is) be sufficient in your opinion?
EDIT: Let me just add that for most people, a living will is really what they want when they think of preventing lingering in the ICU. A living will can say, for example, that in case you become unable to function, and your condition will not improve according to your doctors, you do not wish to be placed on a respirator, or have feeding tubes inserted, or to be resuscitated. (Of course you should consult advisers to put this together.)
A living will is not the same as a DNR order; it is more general. I think for most people it doesn't hurt to have it. On the other hand, walking around with a DNR order on you, if you are a person without a known great risk for cardiac arrest, is kind of pointless, IMO. You may, after all, become incapacitated in ways that do not involve cardiac arrest (like traumatic head injury or stroke).
Advance directives should ideally cover all the situations in which you lose mental capacity. Who do you trust to make medical decisions on your behalf; who do you trust to take financial decisions on your behalf; do you care what happens to your corpse, and so on.