I use an OnGuard Bulldog mini-U.
On my grocery bike I throw it in the Wald front basket.
On my beater roadie or my CX bike I stuff it in between a couple belt loops or in my back pocket. In the courier bag if I'm carrying that.
The beater roadie is also my commuter and I toss the lock in the pannier if I've brought it.
I have nutted axles on all my bikes so I'm less worried about wheel theft, although it's not impossible. I've got pretty distinct wheels and I've got my security message written on the rim strip, so if it ever ends up in a shop I'd like to think that the wrenches would actually call me. Rim strip says:
"Wheel is property of <real name>. If brought to shop, call <phone number>."
I do all my own wheel work (I built the wheels) so there's no reason my wheels would end up in a shop. If some jackass steals my front and then brings it somewhere, I hope I'd get it back.
I use the Sheldon Method for locking all my bikes, but I live in a low crime area and rarely leave my bike for much more than a pop-in at the grocery. Most of the time I'll even just wheel it in with me.
I locked my brand new CX bike up outside a bar with a concert going on right across the street and I pulled a "hipster high-lock"; hiked it up to the top crossbar of the adjacent fence, hooked the handlebar over top and locked up to the crossbar through the rear wheel. It's tough to pretend you're
not stealing someone's bike when you have to work on it 8 feet up in the air. Nobody messed with it.