I'm not sure what "best place" means in this case ;-) but IMHO proper place 
is connect() method of datasource, so I would:

1. create new datasource class

#app/Model/Datasource/Database/MysqlNoConstraints.php
App::uses('Mysql', 'Model/Datasource/Database');
class MysqlNoConstraints extends Mysql {
    public function connect() {
        if (parent::connect()) {
            $this->_connection->exec('SET FOREIGN_KEY_CHECKS = 0;');
            return true;
        }
        return false;
    }
}

2. either
    a) define usage of (property for) that datasource in 
app/Config/database.php or
    b)
        $config = ConnectionManager::$config->default;
        $config['datasource'] = 'Database/MysqlNoConstraints';
        ConnectionManager::create('something', $config);

3. call setDataSource() on affected model(s)

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