It does depend on the holster/case. Because BB's use a magnet to enter sleep mode, you would need either a case made by RIM or one that states that it places the BB into sleep mode when holstered.
The magnetic switch on the Storm is somewhere in the middle of the screen (not actually in the screen, though).
You do have to turn it on so it locks when you insert it in the holster. Go to Options>Password at the bottom you will see the option "Lock Handheld Upon Holstering". Make sure that you put your phone in the holster, that the screen is facing the magnet.