I always take my phone with me for music but also for emergencies. I make sure any running shorts I buy have a pocket at the back to keep the phone in (like these). A pocket here tends to hold the phone tight and distributes the weight evenly so I just forget it's there really. Other people like the flip belt or the naked running band for holding phones but I find these can get a bit hot/annoying.
Do you not find that the phone bounces around everywhere? That's one of the reasons I stopped too!