Clipped inside my left pocket.
When I don't want worry about it falling out, I do the following:
Take a one foot piece of 1/8" cord. Tie a figure-eight stopper in one end, and reeve the unstopped end through the lanyard holes. Pull it up taut. Then, pull out (invert) the pocket liner of your front pocket. Affix the cord to the liner using a strangle knot. Push the liner back in. Presto; it's not going anywhere, yet there's not much visible in the way of a lanyard. Just unravel the figure eight to remove the knife, since it's a fairly bind-free type of knot. I attach it only when it's likely that I won't be needing it for a while, such as finding my way to and through the airport, etc.