Hi guys. I searched Shure's site before posting here, but I couldn't find an answer.

I've rented some Shure mics for field work this week and next week. One piece I'm using is an ENG kit for hand-held mic work, as seen in the jpeg attached to this message.

Any idea how I can mount it on the camera? Or am I supposed to hang it on my belt? I see a keyhole slot (circled in red). Does that play a part? I've just been cramming it in my pocket. I feel like an idiot?

Well, the obvious option is velcro!
I suspect that there are 2 other keyhole slots under the velcro in the Anton Bauer pattern. Since you have an XH-A1, using a regular AB mount won't be possible without their stasis shoulder support. Perhaps a small messenger bag (or a real audio bag) to hold it.

if you're using a full sized camera with AB or V lock batteries then velcro works great otherwise get a small pouch with a belt clip and clip it to your belt. The large home improvement store would probably have something that would work for you.