My Paradigm Veo pump came with a plastic clip device and a litle leather pouch with see-through front and a belt clip on the back. Both are fine but I prefer the simple clip for attaching the pump to my belt or waistband of jeans/trousers/skirts. With a dress, I usually clip it to the centre of my bra - though this can be a bit too entertaining for other diners if you're eating out and need to bolus!!
Like Marilyn, my preferred night attire is Chanel No 5, so there's nowhere to clip it. My plan is to make a soft lacy 'belt' with a little pocket for it.
On our last scuba holiday, I just wore it clipped on the outside of my swimsuit between dives. (God bless the inventor of the tankini - so much easier for disconnecting and reattaching in public!) Of the questions asked by other divers on the boat, my favourite was "Do you have special waterproof earplugs to go with that?" I was a bit puzzled until he explained that he thought it was an underwater ipod :wink: