they're always around my neck.
if they're not in-use, i keep them in their case (UE customs come with a really nice hard case), which goes in my pocket or, if i'm carrying it, my laptop bag. but generally once they come out, they stay out and around my neck when not in use. i'll only bother to put them back in the case if i'm pretty sure i wont be using them for the rest of the day.