Put it to ground with a current limiting resistor, of say 3-5K ohms. If that is too much resistance, drop it to 1K.
Also as stated earlier, make sure you include a diode with that output, so that there is no back flow to the arduino.
DVDdoug also said,
It needs to have a Peak Reverse Voltage rating above the relay's coil voltage, and a Forward Current rating greater than the coil current.