Squall's gunblade would be impossible to draw from a sheath, since the blade is longer than his arms. He could, however, hand it through a his belts - he's definitely got enough leather to support the weight.

Selphie's dress has two loops of cloth on the back, kind of like pockets except bottomless. I'd guess that's where she keeps her nunchaku.

'Course, every character's weapon disappears when it's not in use, since that'd make things look awkward - even though it'd be better from a realist perspective. Imagine Squall trying to hug Rinoa without accidentally slicing her, or him trying to run from the Black Widow tank without his blade twaking his leg at every step...