This question already deals with the books, so I'm asking specifically about the movies.
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8In their canes, in the case of one sleek git. – Rand al'Thor♦ Jan 19 '16 at 0:23
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or in umbrellas... – Megha Jan 19 '16 at 1:25
This video of Harry, Mcgonagal, Snape and the Order of the Phoenix seems to suggest in their pockets, about 2:30 in.
It shows it a bit better in this video at 1:25 Mcgonagal appears to pull it out of her pocket
answered Jan 19 '16 at 7:41
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I recall it looking like people would pull their wands out of their sleeves sometimes. Also I purchased a ravenclaw robe and it has a long think pocket (a wand pocket) on the left front inside
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4"I purchased a ravenclaw robe" - where? Is its design 'canonical' in any way (e.g. was it an actual prop from the films being auctioned off, or 'approved' by JKR or the film makers)? – Rand al'Thor♦ Nov 20 '16 at 15:54
Further evidence to support the conclusion that they put wands in their pocket:
Harry descended the stairs, very conscious of everybody still staring at him, stowing his wand into the back pocket of his jeans as he came.
"Don't put your wand there, boy!" roared Moody. "What if it ignited? Better wizards than you have lost buttocks, you know!"
"Who d'you know who's lost a buttock?" the violet-haired woman asked Mad-Eye interestedly.
"Never you mind, you just keep your wand out of your back pocket!" growled Moody. "Elementary wand safety, nobody bothers about it anymore..."
(Order of the Pheonix Chapter 3)
Also (I can't find the exact quote for this), Barty Crouch Jr. stole Harry's wand out of his back pocket at the Quidditch World Cup in GoF.
All evidence points to the back pocket, although maybe they didn't used to keep it there in the past.
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