You start with a rucksack in your inventory. You can drop this item at whatever location you like and it will create a personal stash that you can name and store things in. Like all known stashes, it will show up on your PDA. You can buy more of these at traders and create stashes for yourself all over the zone. This is a much better system than in vanilla. And it makes sense that your stuff would be looted if it is left in random boxes.