The best place for a lathe chuck key, is its home, which should be the same place every time, unless it is in your hand. Make it a little ritual to check, or even touch the chuck key in its holder, before starting the spindle. When you take it out of its home, it should not leave your hand until it goes back into its home.
I have a hole in the bench, next to the power switch for my mini lathe, which I check every time I start it. I know a guy that actually wired a switch to sense the key being in its place, which would stop the lathe from starting if it wasn't there.
I am very wary of chuck keys, had one fly out of a 15" lathe, across the room, bounce off the mill that I was working on, and into my face while I was in school. The safety glasses I was wearing are the only reason I still have both eyes. :whistle: It embedded itself into a 1/2" piece of plywood after bouncing off my face. It is still there as a reminder to everyone who walks into the room.
-Cody