I don't really like lugging around a bag just to have my sketchbook and pencil box with me. Especially since I find that if I do bring it along, I don't always get a chance to sketch and if I don't bring it along I often end up sitting somewhere bored and wish I had my sketchbook. Plus the packing and unpacking of stuff makes it pretty inconvenient on a daily bases.
Lately, I've been keeping a stack of maybe 10 index-cards in my jacket pocket at all times. I clipped them together with a couple of binder clips so they don't get messed up in my pocket (keeps edges from getting messed up and also keeps them from rubbing against each other and smearing the sketches). However it turns out having them clipped together also makes it really easy to draw on the top card in the stack while standing up. So I can be standing in line somewhere and just pull the cards out of my pocket, and start sketching. Then jam them back in my pocket when I've got to get moving again.
As a result, I always have them with me and I've been doodling more, which is always good.
The second half of that equation are the pens and pencils I bring with me. I recently discovered "snack bags" in the grocery store.
For years, they only had "sandwich bags", but now you can find "snack bags," which are half the size. They're the perfect size for stashing a few pens and putting them in your pocket.
The last ingredients are the caps for the pencils. I originally started capping my pencils because I got tired of them putting holes in my pockets or stabbing me in the hand when I reached into my pocket. I find pen caps are too big, but my fiance's eyeliner caps are nearly perfect. I just slipped in a small piece of paper to make sure they're nice and snug.
Hope these tricks help you sketch on the go!