On a blank piece of paper, at least in my case. It's where they take shape and evolve. Many also die there. Putting the idea down transmutes it from immaterial existence in one's mind into a physical presence. More often than not, once on the paper, the whole ridiculousness of the idea becomes apparent.
Sketching or drafting is intrinsic to my thought process, but I have not realised it until I saw a very interesting interview with Scott Dadich, a designer and art director. The interview pointed me towards an excellent Netflix series he produced called "Abstract. The Art of Design". Dadich said that what became apparent when making the series is that each designer, be it illustrator, product designer or architect, starts on a piece of paper.
Moments like these often help you to learn a lot about yourself. A piece of paper is always on a desk beside me, covered with scribbles, numbers, random notes and pieces of information. It's often messy and ugly, but it is my indispensable testing ground for ideas.
And how does your process look like?