I would eat the gamma emitter, since gamma rays have a very small chance to be stopped by the human body to begin with. The difference between a gamma source inside your body, and a gamma source outside, is negligible.
I would pocket the alpha emitter. While alpha particles are big and heavy, essentially Helium nuclei (two protons and two neutrons), and are thus very high energy, they don't tend to travel very far, and have trouble penetrating even the outermost layers of skin. Alpha particles are extremely dangerous inside the body, so eating or inhaling it would be a very bad idea.
I would throw the beta emitter out the window. Beta particles are single electrons. While they can be stopped by clothing most of the time, and something like aluminum foil almost all the time. That said, if they do penetrate deeper, they could still potentially cause problems including radiation burns to deeper portions of skin. They're fairly unlikely to cause cancer... but I'd still toss it.
Also, for a slightly more tongue-in-cheek reason to pocket the Alpha emitter instead of the other two... if you throw it out the window and a child or animal eats it, they're in serious trouble. At least pocketing it, you're minimizing the danger to others.
FYI, a neutron emitter would be by far the most dangerous... unfortunately merely throwing one out the window wouldn't help all that much. That one, I'd hand over to the appropriate authorities, or perhaps bury as deep underground as I could.