I've recently made a point to figure out how to keep my pump on during exercises, and figuring out where to put it was the biggest problem since keeping it clipped to my hip was not an option (nor was a fanny pack!). I had a pair of compression shorts that I wore for football that had the pockets on the inside for pads, and I tuck my pump into the inside hip pocket. I found it keeps it tight to my body if I'm running or jumping so it's not moving around and it's difficult to hit it with anything there as well. I'm not sure if you want to wear a pair of 'football' pants, but I'm sure there's other pants like them you can find.
In case you don't know what I mean, here's an example: