Hiya Yoshi
"Just got my Rocket III jacket ..."
Go on, rub it in why don't ya??
Depends on the venue. If it's bike orientated - there's often somewhere to check in jackets/helmets.
If it's just a town or nowhere with storage, take it off and chuck it over the shoulder.
I wouldn't risk locking it to the bike, unless it's on the seat. I see a lot of helmets chained to bikes (with the chain through the wheel usually) and I always wonder how many come back to the bike to find a dog has pissed on it ... ! Makes ya think!!
Ride safe (with ya bloody Rocket III jacket and all!!)

Adey