With a custom-built bike in somewhat higher price regions, I now ended up with a high-security u-lock, which is also very heavy-weight. I also own a heavy-weight chain lock. For several reasons and specific occasions, it would be more practical to carry these locks on my body instead of attaching them to the bike.
However, when thinking about accidents, and the corresponding forces of heavyweight metal, and the comparative weakness of my bones, I would at least like to know which variant of carrying the u-lock (like corresponding holsters, in - or attached to - a backpack, ...) or the chain (over one shoulder, or like a belt, ...) has the least "damage expectancy". My research, among others with the German Cyclist Club (ADFC), did not reveal anything specific ... apart from the obvious, that any lock will damage your bones less if attached to the frame.