I have mine on a carabiner that I snap onto my belt loop. The carabiner also has a built in LED and bottle openner. I also keep a few in a small tool box that stays with my drums that has all my felts, string, and other schtuff.
I bought one of those cross/key/necklace thingies. The key is really too big for my taste to use as a neclace, but I hang it off of a floor tom lug screw. I also keep my Mapex key (my favorite, by far) on a stool to my right, along with my drink. There are also keys all over my house and in my pocket.
My solution is having way more drum keys than I need scattered all over the place. That way, I'm never looking for one. Drum keys accumulate over the years from new snare drums and pedals, or when someone gave me one to keep, or I bought a gadget key, so why not. I probably have 6 keys sitting around.
When gigging I always manage to get one into my pocket while loading out of the practice room. Or I find myself carrying one around since the last gig.
One in my stick bag, one in that little pocket in my Levi's, and one in the bass players cable case. I swear that little Levi's pocket was made just for drum keys. Then a slew of them make their home on the closet shelf.
My DW 5002 pedal has a spot for a key; one goes there. Another goes on my keychain, one goes in a little side-compartment in my cymbal bag, and one stays at home in case I lose all the others some how.
On a Detroit Tigers neck lanyard that has a detachable plastic end snap. I generally have to carry two keys, one for the slotted Sonor rods and one for standard rod ends on the snares I use that are non-Sonor.
That lanyard, when not being used, resides in my bass drum pedal case. I figure if I forget my bass drum pedals, than not having a key is a minor problem.....
I have a slew of keys in my drum repair case (a converted suitcase) that I take with me that contains spare tom and snare heads, snare cord, cymbal felts, spare hi-hat clutches, the usual "emergency repair" stuff...
On my keyring, which is either on a carabiner clipped to a belt loop, on a lanyard, or hanging off something drum related. When the drum key comes off the key ring to be used if keys are getting in the way, it either ends up in the bass vent hole, or on the space on the tom mount that it is used to tighten (although that sometimes gets in the way of the ride cymbal).