Either in a note book at some random location, or on the typerwriter in my bedroom. Work with real media, because it's harder to erase your first time. It forces you to keep going. It makes you just RUN with the idea instead of getting hung up on the first sentence trying to create literary masterpiece in the first line without having even found out the rest, so to speak.
Art done by RjPilot here ----> https://www.furaffinity.net/view/9272258/