Small step down transformer fuse, primary or secondary?

You should put it in the primary, to protect against transformer faults. This may be optional if it is a Class 2 impedance protected transformer or has an internal fuse or thermal cutout.

Keep in mind that the output load (especially if it's the usual capacitor filter) and the transformer itself will cause inrush surges at turn-on. The latter can be especially bad with toroidal power transformers sans inrush limiting devices such as NTC thermistors (can be tens of amperes for a small transformer) and occurs as a result of when the power was last removed in the AC cycle and when it is reapplied (perhaps counter-intuitively, zero crossing is the worst case).

Continual surges can lead to early death of the fuse if it is not appropriately rated and of the appropriate type (often slow-blow is required).

The fuse has several purposes- to protect the transformer against a short on the secondary. To protect the transformer against an overload on the secondary. To limit the damage in case the transformer itself fails (think shorted turns and smoking), and (in some cases) to protect the mains cord from excessive current (from a short or overload).

I would suggest to use the fuse at the primary side. The main reason behind this is that fuses are less sensitive to changes and come into role only when there is a drastic change in current value. Moreover, just keep in mind that the fuse should be selected with a tolerance of 150% from the limit/maximum value.

For more clarity, just visit this link http://sites.ieee.org/fw-pes/files/2013/01/transfguide.pdf

It's not like the transformer will short out on its own

Don't bet on it.

Why do plugs have fuses in them? Answer - to protect the infrastructure of the home i.e. the house wiring in the walls and therefore prevent a fire. What your fuse does is both protect the house wiring AND, stop the transformer burning should it develop a fault or the load current rise too high.

Put it in the primary circuit.