Where do custom Drush hooks go?
Looking at the drush code this is the function that looks for the "hooks"

drush_command_invoke_all('drush_sql_sync_sanitize', 'default');


following the path at the end is calling to:

drush_commandfile_list()


which is going to look for hooks implementations in the next folders:


The "/path/to/drush/commands" folder.
Folders listed in the 'include' option (see example.drushrc.php).
The system-wide drush commands folder, e.g. /usr/share/drush/commands
The ".drush" folder in the user's HOME folder.
/drush and sites/all/drush in current Drupal site.
Folders belonging to enabled modules in the current Drupal site.


So as @Clive suggested probably MYMODULE.drush.inc and MYMODULE_drush_sql_sync_sanitize should work.