Armpits are common sleeping areas around here. So are... I'll say "lower lap" areas as well as the back of my neck.
Word of caution, when he plays by your hair or sleeps up there, check him for hairs he may have picked up. They have a tendency to wrap around feet and can cut off circulation. So just give him a once over before returning him to his cage to make sure he isn't trying to build a toupee.