Dunno about throwing it into a volcano unless it's heat-protected. The problem (from the lich's point of view) with storing somewhere distant is that you don't necessarily know if someone's monkeying with your phylactery. Keeping it close means that nobody's going to get ahold of it unless they come through you.
Obviously, the best way to find the phylactery is to look where the lich hid it. Um, dunno what else to say about that? I mean, what's the best way to find anything? I don't think there's a best way to find a PHYLACTERY, really. Just look for it wherever it is and you'll find it, right?
The best way to kill a lich? Find the phylactery and monkey with it.
My campaign features a god-lich who's phylactery has already featured in several elements of the campaign -- but the players are in for a big surprise when they get to it. This lich is crafty (they won't let you be a god unless you're crafty, you know) and in fact has created a whole mess of phylacteries -- only one of which is the real one. Finding the real one -- that's a job for the big boys.