If you want to store it in a pocket, ScubaPro offers two pocket options as accessories for the Hydros Pro: 1) cargo thigh pocket that clips to the lower D-ring and straps to your leg, and 2) ninja pocket that attaches to the multi points below the weight pockets and rolls up out of the way when not in use.
If you don’t want a pocket, you could use a snap ring to attach a small retractor through the lanyard hole in the knife. I like having my cutting tool on my left shoulder (inflator hose), so you could clip the retractor to a D-ring and keep the knife in place on the shoulder strap with a bungee or piece of medical tubing.