Well, that depends on what sound you're going for :). In all seriousness though harmonizing effects should usually be placed near the beginning of your chain and most definitely before any overdrives for several reasons, the primary of which is: that's where it will track the best. In order to harmonize with a note the unit will need to process input and produce the polyphonic tone. The closer the input is to the real note you are playing (signal degrades as it traverses your board) the more accurate it will be. Placing it behind a normalizing unit like a compressor will also increase the chances that you'll get an accurate note. Finally, it's likely a good idea to place it before any overdrives such that it doesn't have to figure out how to harmonize with distorted overtones that emanate from those units. From my personal experience, my Digitech whammy (a very famous unit that will do octaves along with many other tricks) is placed immediately after my compressor--which is second in line to my guitar after a fuzz pedal. To illustrate:
Guitar --> Fuzz --> Compressor --> Whammy --> ... --> Amplifier.
You could place in the effects loop providing you don't use any distortion pedals pre effects loop.