In short, the best way not to lose them is to treat them as easily lost, valuable objects. I’ve misplaced my AirPods in my house far more often than I’ve come close to actually losing them — so being able to make them beep is the feature I’m most looking forward to with AirPods support in Find My iPhone.
I've had my AirPods a little over a month, and haven't yet misplaced them. As John writes, treat them as valuables and they'll never be lost because you care to be careful with them. This isn't to say accidents won't happen—they happen to everyone, but at least you can take solace in the fact you weren't careless if something bad happens to your AirPods.
See also: Joanna Stern's story for the Wall Street Journal on the "Find My AirPods" feature coming in iOS 10.3.