Me and my buddies do it when we play together as what you could call a 'squad' but we just loop them through the molle on our rigging. But I've seen plenty of people attach them on their stocks. I suppose its just a preference really.
We use them for Identification mostly but if used them for many different purposes such as a dim light for navigation or a marker in a cirtain room/ objective so I can back track to that if was to get lost or whatever.
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