Wow, thanks for all the replies. Couple of things...

-All I have is one really big bag for grocery shopping and schooling and such, I don't want to buy a smaller one/pouch for just a lock.
-I have a saddle bag that has multitool, tube, and mini-pump strapped on. The only other thing I need to carry is a lock.
-When I ride to a friends house, go to a restaurant/bar, go to an event, etc I don't want to carry an enormous bag with just a lock in it.
-I don't need multiple locks as theft isn't a major concern 'round these parts.
-I've heard poor reviews about the frame mounts, though perhaps in combination with velco-straps it could be secure.
-I never wear a belt, and hadn't considered this method, but I'll have to try it now and see how comfy it is for me.

I'm surprised so many people always carry a bag no matter what their mission. I mean, sure I can fill a bag with clothes and water and things, but if I don't need to, why go through the trouble. Besides, I commute daily with a filled bag and its refreshing to ride without one I think.