I strongly recommend something that goes on-- and STAYS on. That way, they really don't have much opportunity to be left anywhere.
DD has always worn hers cross-body, as this seems to bother her least in sensory terms (she hates anything tight on her body, and really, since she has somewhat dermatographic tendencies, a "belt" style holder probably would give her welts).
Other tips that I've figured out over the years:
a) DD has to CHOOSE the bag. We get veto power over things which are wildly inappropriate or lack necessary features, but she never has to wear something she hates. Ever.
b) adjustable length straps are a great idea, since that way, the fit is "perfect" in terms of activity and what your child prefers, which can change as they grow or even just day-to-day.
c) there isn't any way to make it discreet ENOUGH that nobody will notice it... and really, that's not necessarily a good idea anyway. Might as well make it functional, then-- enough room to hold 2 epis, cell phone, inhaler (as needed), ID/information, and a compact snack or individually wrapped wipes.
Also want to make sure that any "Waiver" that you sign does NOT NOT NOT absolve the school of the responsibility for administering epinephrine as needed. Self-carry =/= "self-administer."