Both of them clipped directly to the ring of one of these
https://www.newitts.com/acme-wrist-...1desjxBCvuCI-jIcMXTC-0eaunJwS4nxoChVkQAvD_BwE
Generally speaking, I hold the whistle I'm currently using (usually the Fox 40) between my thumb and index finger, while the spare whistle (the Blast) sits in the palm of my hand, kind of inside a loose fist made of my remaining 3 fingers. If I need to access the second whistle quickly, I can open my fingers but keep hold of the main whistle - the short distance between the two whistles usually means that it then falls to a fairly rigid position around my wrist, which you can access fairly easily.
Obviously once you've got it held in your mouth, you can quickly shift to a more natural grip if you need to keep blowing it....
I do have fairly small hands, so you might need to add an extra ring or two if your hands are significantly larger to make the distances match up.