I am sure there are many ways to do this, but I have recently started to end the paper with a specific (unnumbered) section Further Material (or something like this). For an example, you can check this preprint of mine.
Before, I primarily gave a link to the online material as a footnote somewhere in the Experiments section, or wherever else it made sense from the text flow. However, it happened to me more than once that a careless reviewer overlooked these footnotes, and complained that the data has not been made public.
Some journals will also allow you to upload accompanying material to their website. However, at least in my field this is so unusual that I would be afraid that potential readers will not even look for the material on the publisher's website.