Fair warning, you'll likely get a bunch of haters replying to this one.
. (from the "you've forgotten your kid?!" to the "you don't use AirTags for tracking stolen items" peeps).
Me, I'd treat it like any luggage - ideally, inside a pocket - so you have some potential of recovering the item when you misplace it / it's stolen. You want this as hidden as possible (but not inside something that can block radio frequencies - you need the bluetooth and ultra-wideband radios to be functional).
If you are using it for theft protection, I'd also take a look at the videos on YouTube to remove the speaker (it's very easy to do).
You have a very short window to recover stolen items before the thief is notified (provided they have an iPhone) and the anti-stalking features kick in.