Usually to the battery terminals, and usually with a fuse. Eastern Beaver has some good switched products with a relay, or you can go unswitched for simplicity.
http://easternbeaver.com/Main/Wiring_Kits/Fuseboxes/3_Circuit/3_circuit.html
The owner of Eastern Beaver has a WR250R, and he posted pics of his with his fuse holder and relay for 3 power points in the last couple days:
http://advrider.com/forums/showpost.php?p=24634450&postcount=43445
On my last WR250R I bought a fuse holder at walmart and installed some ring lugs to screw it to the battery terminals. I had ring lugs on the free end that I could screw down to a 200W inverter. That gave me 12VDC in a car socket as well as 120VAC for small items. I had enough wire for this to hang from the helmet lock. When I had a bag on the back, I could stick it in the bag to charge cell phones, GPS, etc.
Picture: