I have 2 feather dusters, one is medium and the other quite large.
The big feather duster has a huge tube, so I couldn't find a rock with a hole deep enough to put him in, so I just buried some sand over it. It managed to wiggle out, so I just sheltered it with a piece of live rock.
The medium I had trouble with. I put it in a crevice on my live rock when I purchased it from the LFS. It was getting whipped around quite a bit from the current, but when I tried to move it the worm came out, but the tube stayed put. So, I buried the worm part in the sand, and in time (about 2 days) it had moved around to a piece of rubble on the substrate and made it's own tube again and apparently it was quite happy..