I don't have room for all my bonds in my TSP, so my Wellesley has to be in taxable along with my equity index funds and even some other bond funds. My TSP is 100% bonds.
I am perfectly happy with Wellesley in taxable, though of course you would get more if you got the dividends and LTCG tax free. It does shed a lot of LTCG most years though last year there was none.
What I would do is put all your bonds and such in your 401K and IRA, and then if there is room put your Wellesley there. If not, put it in taxable. That's really all that I know of to do about it. Some people choose tax exempt bond funds instead, so check those and see if they would help in your case (and location, tax bracket, etc).
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