I always toss the slide in the bag (where the things i will be holding in my hands all come from), and never lost a slide.
(That last bit is a lie. I did lose a slide: my spare one. Haven't needed it for so long that i forgot where i put it. So when i remembered i had one, i had to turn my bags inside out to see where it was hiding.)
Where do you keep your lens caps? And how often do you lose those?