Whenever I am tied to an anchor, I always clip the belay device to the "figure-8 loop," which is to say the loop of rope which is the part of your tie-in knot that threads through the harness. The idea is to transmit the load directly to the anchor via the tie-in, rather than subject the harness to various opposing pulls and the belayer to unanticipted twists.

(Since I use double ropes, the device is clipped to both tie-in loops, which happen to be bowlines, not figure-eights.)

I learned the idea many years ago from BD engineer Chris Harmston, whose posts to rec.climbing contained some of the most informed opinions I've read anywhere.

The idea seems strange to people in this country, but it is fairly common in the UK---see for example, the article on the subject at http://www.ukclimbing.com/...les/page.php?id=1129, which also has pictures to clear up any possible confusion here about what is meant.