Eye blinking method? I have this little character:

I tried to use shapekey but to no good:

Applying Subsurf Mod would make that vertices unable to stay together.
I tried to create a different eye in a different object and then parent to bones but it didnt come out well...
Any other way to do this?
Use Control-R Loop to Loop Cut and Slide one or two more concentric rings for greater control.  More concentric rings reinforce the closed configuration of your eye.

Then select 3 edge rings on edge of eye and

Keyboard Shift E ...Edge Crease ... pull mouse to value 1.

The outside edge is smoothed by Subdivision Surface.

The eye edge is not smooth so vertices can be brought together.

Notice the pink edges of the edges with .... Edge Crease