Most of us seem to put it in the sump or refugium. That way its a little easier to control.
I myself have Chaeto (arbitrarily pronounced Kay-toe) algae in my sump. It is used to absorb excess nutrients that are in the system.It is pretty stable.
Some other Macro algae (Halimeda for example) can "go sexual" on ya. Meaning that they can release all the excess nutrients they have in them and "BOMB" your system with a mass dose and cause your parameters to go crazy. This isn't a problem for everyone. But with my smaller setup I decided not to take the chance.
So I use Chaeto.
I dont know if I have explained this very well so I am hoping someone else will add \ correct this.