Some people carry them in pockets. I don't because...well, it really is about the size of a deck of cards, and for obvious reasons I don't really want to sit on that or have it cutting into my hipbones when I sit down. (Well, and there wouldn't be room in most of my pockets. But still.)

Normally I keep it in a pocket in my backpack when I'm not using it; I have a case for it with a belt clip, though, so I have it clipped to a pocket (usually my little coin pocket on my jeans, because...it works) when I'm listening to it.