On OS X there doesn't seem to be any "right place".

http://osxdaily.com/2012/08/07/edit-hosts-file-mac-os-x/

I'd have guessed /etc/hosts - though it seems from the above that this may be a link to /private/etc/hosts. Anyway, seemingly either will work.

Despite the Microsoft association with MVPS, the "hosts" file works on all systems - mine is on Linux boxes at home and at work.

Oh yes, Kaspersky has stopped complaining here too.