Mike always says "the dot is hot". That means it should go to the high AC voltage, not DC - so take it to the plate of the tube.
Actually the dot usually indicates the start of the winding, which for a choke in a single bobbin would be closest to the core. By following this rule, the outside winding is at signal ground, so it can't capacitively couple signal voltage to other parts of the circuit, nor can it pick up signal or hum voltages by capacitive coupling. Basically the same idea as orienting capacitors so the outer foil goes to ground or to the lowest impedance point. It's not always critical but if you follow the rule you don't have to worry about it.
