Quick Tape Method: My first method was just to use packaging tape. I tucked the sensor underneath the shoelaces and then criss-crossed packaging tape over it. Duct tape would probably work fine as well, but you don't want any kind of tape that would shield the wireless transmission. Aluminum foil is an especially dumb idea.
Sensor Should be Untilted and Secure: The Nike+ sensor is a piezoelectric accelerometer that is fairly tolerant of being at an angle. But you want it to be close to being parallel with the ground, as it would be under the sockliner of the Nike+ ready shoes.
You want the sensor to be held securely, not bobbing or swaying, and to be parallel with the ground and not tilted.
Sensor Pouches: Top picks for sensor pouches for your shoes.
Accuracy: Right out of the box, uncalibrated, and taped to an unauthorized shoe, I got a distance estimate within 10% of what a Google Map Pedometer said I walked over 2 miles. That's as good as any pedometer can be expected to be. I would expect more accuracy after calibrating it.