What's the best method to hold my iPhone while I'm running at the gym? Arm band?

What's the best method to hold my iPhone while I'm running at the gym? Arm band? - 1

Probably arm band. I try my pocket which is lousy and on the treed mill it vibrates off to the ground

If you are at the gym, why not just set it on the treadmill tray in front of you?

Absolutely the treadmill tray. Most headphone cords are long enough but if not you can buy an extension. If possible wrap the cord around something so that you can't accidentally pull the iPhone off the tray. I've done that a few times anyway tho.
and the best is to use wireless headphones. They are cheap enough now. No cords to tangle. And you don't have to worry about forgetting you are plugged in and pulling it off the ground. You just have to remember to have them charged up.
Cargo short pockets are good too. And then when you are not on the treadmill you have a place to stick the iphone.