Where are the Infinity Stones now?
As of Doctor Strange, here is the updated status on all of the Infinity Stones that have been revealed in the MCU. In case it wasn't obvious, herein there be spoilers for the films that have been released so far.
Eye of Agamotto -- At the end of Doctor Strange the good Doctor returns the Eye of Agamotto to the security of Kamar-Taj, the home and training center of the Masters of the Mystic Arts. It's explicitly referred to as an Infinity Stone, and both Strange's ally Wong and antagonist-to-be Karl Mordo remark on how it defies the natural order of the universe.
Scepter -- As of Avengers: Age of Ultron, the Mind Stone has been sitting in heroic robot Vision's forehead. Unfortunately, the events of Captain America: Civil War dealt a severe emotional and mental blow after he accidentally blasted War Machine out of the sky. At the end of the film, Vision is still an Avenger, but processing friendly-fire emotions isn't something the robot has any experience dealing with. The Mind Stone doesn't help matters.
Tesseract -- With Loki defeated at the end of the first Avengers, Thor took him and the Tesseract back to Asgard for safekeeping. There, in theory, it could be kept safe. Later in the chronology, however, Thor: The Dark World ends with Loki in disguise as Odin, and Thor being none the wiser. This should be bad news.
Aether -- With the Dark Elves defeated at the end of Thor: The Dark World, the Asgardians give the Aether to Benicio del Toro's Taneleer Tivan, "The Collector," for safekeeping. He has his own plans for it, which have yet to be revealed, but he returns in Guardians of the Galaxy and will probably be back in either Thor: Ragnarok or Avengers: Infinity War.
Orb -- After the Guardians of the Galaxy defeat Ronan the Accuser, the Orb is left in the care of the Nova Corps, which locked it away in a vault on Xandar. It's worth noting that in the comics, the Nova Corps has been destroyed or seriously crippled several times, so it's probably a safe bet that Thanos will strike at them early in his campaign.
Heimdall? or "Him"? -- Eagle-eyed Internet theorists have pointed out that all of MCU initials for the various Infinity Stones shown thus far -- Tesseract, Aether, Necklace (for the Eye of Agamotto) Orb, Scepter -- spell out a key name: T_ANOS! So we need an "H" here. One theory posits that Heimdall, an all-seeing and all-knowing being who has said he can see people's souls, has actually had the stone in his armor the whole time. I don't buy it. A simpler answer is that the "H" will reference the legendary Marvel hero Adam Warlock, who was first introduced in comics simply by the very-dramatic pronoun "Him"(!). Warlock plays a huge role in Thanos storylines of the past and his cocoon already made a cameo in the Collector's stores in Guardians of the Galaxy. He's definitely showing up in future films, so it makes perfect sense that he'll possess or use the Soul Stone in some way.