Poll Results

Total votes: 3862

I don't play tennis: 2867 (74.2%)
In my pocket: 507 (13.1%)
I never carry a ball during a rally: 246 (6.4%)
It varies: 92 (2.4%)
In my off hand: 80 (2.1%)
Sometimes both in my pocket AND in my off hand: 70 (1.8%)

I was prompted to ask this by recently taking up tennis again myself. I carry a spare ball in my off hand, while the guy I play against sticks them in his pocket.