All these responses are good. How you carry your pony is a very ideosyncratic thing - best bet is to try several different methods and see what's right for you and your diving style.
I like to do photography, sometimes very close to the reef. So, like some of the other responders mentioned, slinging my 19cf pony just seemed to get in the way too often. So I moved it to the main tank, but I also wanted to be able to remove it if necessary to escape from an entanglement or possibly to hand off to a buddy (although for me its primary purpose is self-rescue and bailout).
After trying out several options, I decided on a bag solution (I went with the one from
XS Scuba and have been happy with it). My choice was mounted left side, valve up, valve on, hose routed underarm left, necklaced reg (I have an Airsource 2 for my alternate off my main tank as well).
While not as easy as a slung pony to remove and hand off, nevertheless it can still be done with reasonable effort (although the bag had to "break in" a few dives before it loosened up enough to allow in-water removal).
As some others mentioned, I also placed a 4-pound balance for the pony in the opposite trim pocket and have no problems floating level.
Per the manufacturer's suggestion, I also recommend a low-pressure-side overpressure valve for your pony first stage, just in case you charge it at depth and then ascend without breathing the pony reg.
>*< Fritz