If I'm going out in the evening and don't want to carry a big pannier bag or rucksack, I keep my lights and whatever else in a small 'man-bag'. It's like a smaller version of a messenger bag: about 20 x 15 cm on a shoulder strap. I try to keep it towards my back rather than under my arm, to stop it swinging around, but invariably it slides out (especially on right-hand bends) and towards my front. If I leave it, it dangles under my chest and rubs on my knees as I pedal.
What can I do to keep it in place? I've tried shortening and lengthening the strap, and I've used it nearly empty or quite heavy, and it doesn't seem to make a difference.