Note: this answer relates to the Unites States unless otherwise stated.
Porn (stag) movies could be seen in brothels, and were also shown by secret societies, fraternities, American Legion chapters and at private parties. There were also other, sometimes less obvious, venues such as firehouses. Stag films were most commonly seen by groups - sometimes very large groups - rather than by individuals.
It would have been easy enough to see one if a man was a member of one these societies or groups which hired a projectionist / filmmaker with such 'material'. However, given that this type of entertainment was unquestionably illegal, a man would probably have found it difficult to see a stag film with knowing someone who trusted him. Failing that, his best bet would probably be a brothel but it cannot be assumed that all brothels had such movies (nor that a first time visitor would be trusted).
The Secret Cinema, run by a film-collector, is a project devoted to exposing "new audiences to neglected films of all kinds". The preamble to three presentations (at different venues in Philadelphia) of Stag Movie Night: Vintage Porno from the 1920s, 30s And 40s has this information:
The classic stag movies were distributed through a covert network of
all-male screenings at lodges, bachelor parties, and fraternities.
Seeing these forbidden films was nonetheless a fairly common rite of
passage for the American male back then, as the surviving reels of
film testify.
...The introduction of 16mm film in 1923 really opened the floodgates
of stag production, and a standard format was established. Virtually
all stag films are black and white, one reel in length (10 to 15
minutes), and silent -- assuring compatibility with the relatively
low-cost home movie projectors that were rented along with a night's
worth of programming.
That many American men saw a stag film at one time or another seems evident from the well-sourced article in the journal History and Technology (Vol. 22, 2006), Eroticism and Technological Regression: The Stag Film:
By the early 1930s, almost half the adult American male population
belonged to at least one of 800 active secret societies (Odd Fellows,
Owls, Knights of Columbus, and so on), and these made up a limited,
clandestine market for the stag filmmaker....Male audiences
for stags watched in groups, and the groups were predominantly middle aged and
middle-class....The man who produced the films was
frequently the exhibitor, who rented himself, his projector, and his films as a package
to the fraternity or American Legion chapter.
However, the supply side was not at all organized and stag films may simply not have been available in some areas at certain times:
..stags were not mass-produced, at least not by the standards of
contemporary mass media; a truly demotic form of expression, they were
shot by anonymous camerapersons using equally anonymous performers,
although they did tend to run in series....so far as is known,
few of them knew each other, let alone competed. Widely scattered
individuals simply produced stags for audiences close to home. A
single filmmaker might make as many as a dozen, and use the same
fanciful name (e.g., Peter Pecker Productions) to identify his
products, but there was no company, no records, no taxes, and if he
were both careful and lucky, no trace of himself.
The groups of men who viewed these films could be very large. For example, in New York, there was (according to a 1912 edition of the New York Times)
a police raid on a make-shift auditorium in Harlem, where 1000 men
were observed watching what were delicately referred to as lascivious
and immoral films.
The blurb which (with minor variations) appears on quite a few sites selling or reviewing videos (including IMDB) for the video Forbidden Cinema Presents Vintage Smokers of the 1920s & 1930s largely echoes the above. Below is part of what appears on Amazon:
...the increased censorship of the 1920s meant that these raunchy pictures had to be watched wherever people could find a closed door -- brothels, gentlemen's clubs, firehouses, basements. Now illegal, they were called stag films, blue movies, or "smokers." Even the processing of these films had to be kept secret, with many of them developed in bathtubs that once were used to make bootleg gin. If you were lucky, you might meet a traveling salesman who had one of these racy shockers in their possession. But if you were caught watching them, you could end up in jail!
Brothels or bordellos were also venues for such films, and not just in the US. Sexual firsts: a brief history of sex & sexuality in cinema has this snippet on France for 1908 (and, presumably, a number of years following):
...pornography was illegal at this time, and any and all copies were
seized and destroyed in police raids on brothels, where such “nudies”
were featured...
The article Homosociality in the Classical American Stag Film: Off-Screen, On-Screen, in summarizing the main sources on early pornographic film availability, notes that the evidence available for Europe and Latin America is 'skimpy' but implies that brothels were more important there and that they were
more tolerant of diversity, with a price and room for every fetish and
perversion that could pay, multiplexes before their time.
Other than the above, there is little information that includes the UK, but this was not a case of 'No Sex Please, We're British'. Porn films were certainly being made in 1930s UK.
