How can I work with the Tag property of a winforms checked listbox item?

Question

How can I write a C# winforms code like this?

CheckedListBox items don't have 'Tag' and 'ValueMember' properties.

I know there are many alternatives to this. But I need to work it this way.

private void LoadPermissionsToCheckedListBox()
{
    Role selectedRole = (Role)comboBox1.SelectedItem;

    int i = 0;
    foreach (Permission p in selectedRole.PermissionItems)
    {
        checkedListBox1.Items.Add(p);
        checkedListBox1.Items[i].Tag = p;
    }

    checkedListBox1.DisplayMember = "PermissionKey";
    checkedListBox1.ValueMember = "PermissionID";
}