I run an persian-themed game. All the djinn (even the bad ones) are in Jinnistan, which is a magical parallel world sort of like the Umbra. You access Jinnistan through special gates, if you know how to see them. In general, a sure way to get there is be led by a djinni or someone who has been there before. However, this is risky business, because depending on what kind of gate you use you could end up in Ahrimanibad - where the shaitan serve their master Iblis/Ahriman, or the City of Brass - fiery home of the ifreet, or Ghulistan - horrifying home of the ghuls. Follow the right gate and you'll end up in Shad-u-Kam - the province of pleasure and delight, where you can visit Amberabad - City of Amber, or Jauherabad - Abode of Jewels, or the City Beneath the Waves - home of the marid.
Returning home can be very difficult once in Jinnistan. Selfish djinn may fall in love with you and try to keep you, they may serve an enemy of yours on "earth" and seek to imprison you, or they may trick you. Of course, if you've ever killed a Jinn (which is quite easy to do without realizing it apparently) then you'll be hauled off to their fantastic courts.
The normal fairie rules (Don't eat the food, don't lie, don't tell the whole truth) are usually not relevant in Jinnistan. However like in most fairie tales, one's faith, sheer luck, good deeds in the past, ability to solve riddles, charm and performing skill, humility, and open-mindedness are the key to surviving/escaping Jinnistan.