I have one of those cases guys use to clip to their belt and I clip mine to the back of my sports bra. I don't like wires bouncing around and this way my headphone wires are behind me.
On short runs I just hold it in an otterbox case. For longer runs where I have my water belt, I put it in the pocket now that I have bluetooth headphones. I just switch off hands every 0.25-0.5 miles to balance out my arms. I tried an armband, but got awful chafing on a really short run.