Rolled up and stuffed into the jersey pocket. This way, when it starts raining, you can pull it out and put it on. While you're riding, of course. Just make sure you always keep the collar of the jacket at shoulder level so it doesn't get sucked into the rear wheel. And having a bike that tracks straight is also good.

For Paris-Brest-Paris, though, I didn't have room in the jersey pocket for the rain jacket (the vest was already in there). So assuming that, like me, you don't like to put racks and stuff on your bike, I just lashed it to the seat bag (with the velcro strap that was supposed to hold the timing chip, since I had the timing chip attached to the velcro strap on my cycling shoe).

But if your bike has racks and stuff, no problem. You don't even have to learn to ride no-hands!

Luis