There is a blank fuse slot on the block under the dash that you can use. That only gets power when the ignition is on.
Here is a quick diagram of how I wired all mine in. The ACC is the wire coming from the fuse block. I didn't draw it in the pic, but I installed a 5amp fuse into the wire to protect the circuit. On the relay (30) is power from the battery, (85) is from the switch, (86) is ground, and (87) is the output to the device.
With this setup I can leave any or all of my auxiliary switches on and when I turn the ignition off everything will shut off. It is a good idea that way if you forget something in on or bump it and not know it is on, then just by turning the ignition off it won't drain your battery.