One place is your bag, but as you begin to switch gloves, they might stick together and get wet. So I choose to keep them under my umbrella. I open up my umbrella and hook one or two up in the spine and then keep swapping them out. Three gloves should last you 18 holes. Another good idea when it's raining is to keep your clubs and grips dry.
Most people pull out their club, dry off the grip and go hit their shot.
In the meantime, the grip has gotten wet and the club is then immediately put back into the bag. As a result, the grip is damper and will be much harder to dry the next time you take a club from your bag. This way you'll make sure the grips stay as dry as possible. Most importantly, if the rain turns into a storm and lightening is in the area, return to the clubhouse immediately. If you are far from the clubhouse, find a shelter.