I too go with the hang-in-the-closet method, but I add a cloth garment bag to keep the dust off, and a few cedar chunks to keep the bugs out. Not that I have dust or bug problems...I just figure it is cheap insurance for a costly accessory.

My sporran is made from pretty stiff leather, so I'm not too concerned with it losing its' shape. I figure that it is no different hanging in the closet than it is hanging around my waist.

I store my kilt, kilt belt, pin, sgian dubh, hose, etc. in similar garment bags with cedar blocks too. They all hang together in a row.