I just keep the 5+1 rounds that my shotgun holds. I also have an old S&W model 19 .357 as backup. If that doesn't do the trick I'm in serious trouble.
I do keep a couple of boxes of shells in top of bedroom closet also. I figure that most bad guys are going to try and break in late at night/early morning so I won't have pockets available at the time <G>. Of course, my rottwieler would probably think that this is a free meal coming through the door - so they will have to contend with him first. I swear he's just a furry stomach with legs.