The location of the final Infinity Stone, the Soul Stone, that Thanos is seeking to complete his collection for his Infinity Gauntlet is yet to be revealed in the Marvel Cinematic Universe. However, Screen Rant has a theory as to where the powerful gem might be, positing that fans will see it revealed as being hidden under Odin's eye-patch in Thor: Ragnarok.
The theory suggests that Hela will come to New York to find the Asgardian all-father after he was lampooned there by Loki in 2013's Thor: The Dark World. It continues to state that Hela will slay Odin and thus extract the power of the Soul Stone, with its ability to gain control over all the souls of the Nine Realms basically making her the Goddess of Death.
In 2015's Avengers: Age of Ultron, Thor had a vision of Thanos' thirst for the stones which focused on Heimdall without his vision, harkening back to when Asgard's sentry stated that his orange-colored eyes were able to see every soul in all the realms, which ScreenRant also believes to be Odin teaching him how to harness the power of the Soul Stone. The theory also explains that once Odin dies at Hela's hands, his Odinforce (which is basically due to the Soul Stone) will extinguish, rendering Heimdall blind, as per Thor's vision.
It's an interesting theory but with Hela also seen in the Ragnarok trailers to be powering up via an orange hue to her true self after Loki frees her, and also destroying Mjolnir in battle against Thor, it may hold a lot of credence to it. This stone is the missing piece of Thanos' puzzle as he gears for Avengers: Infinity War by aiming to collect the Space Stone or "Tesseract" on Asgard; the Mind Stone in Vision's forehead on Earth; the Reality Stone or "Aether" with the Collector; the Power Stone with the Nova Corps on Xandar; and lastly, the Time Stone in the Eye of Agamotto on Earth.
Arriving November 3, director Taika Waititi's Thor: Ragnarok stars Chris Hemsworth as Thor, Tom Hiddleston as Loki, Cate Blanchett as Hela, Idris Elba as Heimdall, Jeff Goldblum as Grandmaster, Tessa Thompson as Valkyrie, Karl Urban as Skurge, Mark Ruffalo as Bruce Banner/the Hulk and Anthony Hopkins as Odin.