In the grand scheme of things, I don't think it really matters. Since this is an attribute (effectively meta-data), it doesn't impact code performance. That being said, do remember that the information in the attribute is available to anyone using a disassember like Reflector.
The problem with storing them in the FxCop project file is that you must then ensure that everyone uses the same project file and that the project file always travels with the project (it's checked in to source control, which means you must check it out each time you want to run FxCop).
If you don't want the SuppressMessage attributes in your production code you would need to only define the CODE_ANALYSIS symbol in the build you are running FxCop against. This does mean defining it either on your Debug configuration or adding additional configurations. The attributes will only be compiled in to the code when the symbol is defined.
From an automated/nightly build viewpoint, you can build using a configuration that has the symbol defined and then build the production release without the symbol or do two builds - one with the symbol defined, run FxCop to get your violations, and then another build without the symbol defined.