Depends on the operator. Here are my experiences:
1. Load them into the main hold yourself, collect them from same place on landing.
2. Leave them by the bulk cargo hold then either collect them from there on arrival (home base) or pick them up from the carousel outports)
3. Check them in as if you were a passenger.
4. Take them onto the aircraft yourself. Put them where you like (cargo 747 so lots of options). Take them off yourself.
5. Carry own bag on aircrat, stow on flight deck behind seat.
So it varies massively. But generally, long haul you will tend to get them put in the hold, shorthaul with only one or two overnights they can go in the cabin/flight deck.