I have used the following methods over the past 50 years...

1) small pocket in jeans
2) weaving in and out strings
3) pick in guitar hole
4) tin of picks
5) cut out pick from credit card in emergency (tip: always use the wife's card)
6) a coin (beware the scratching noise)
7) the 'borrowed' pick that you forget to give back(unfortunately this trick works both ways)
8) a button
9) waistcoat pocket
10)the wee plastic triangle thing that sticks to your guitar

Why don't guitar strap manufacturers put a little pocket in the strap
or better still, guitar makers build one in the body or stock. Simples!

Alas at my age it doesn't matter where I keep 'em as I forget where I put them anyway.