Sheathed (very important!) inside your strong-side kilt hose, with about half the handle showing. Lots of the pics on here show the most "appropriate" way.

Of course, if you want to carry it as it might be originally used, then carry it anywhere that it's easily concealed but easily retrieved. Sgian dubh meaning "black knife" probably from its intended purpose of being used as a concealed weapon for "black" deeds. I think the tradition is that carrying it openly in the top of the hose was a way of showing good faith because your weapons were in plain view and you had no intent of harm (but still able to protect yourself).

Anyway, this is generally frowned upon by law-enforcement these days, so I don't really recommend it.