Clamp locks have normal keys, so just put it on the key fob with your car key.
Keys for locking lug nut style locks are a little cumbersome to put on the fob. You need to keep it in the car so you can remove the wheel in case of a puncture or breakdown.
Don’t just put it in the glove box though for a thief to find though. Hide it somewhere like the trunk and remember where you put it!