According to Wong.
In the pages of Avengers: Infinity War Prelude #2, we learn a critical piece of information about the final Infinity Stone in the Marvel Cinematic Universe.
Warning: full spoilers below!
Five of the six Infinity Stones are currently accounted for in the MCU, but the whereabouts of the Soul Stone remain a mystery. While the lead-in comic does not give us much to go on, Wong does reveal a key piece of intel, saying, “Little is known about the sixth and final Stone, the Soul Stone. But if what is known turns out to be true, it could prove to be the biggest threat of them all.”
The other stones control space, time, power, mind, and reality, and we’ve seen what each one can do (usually causing a brilliant light show and a whole lot of destruction), but for Wong to say that the Soul stone is the biggest threat of all puts it in a league of its own. After all, while you immediately get an idea of what the other stones can do based on their names, the idea of the soul is a complete x-factor. What does it mean to control the spiritual essence of who we are?
In the comics, the Soul Gem (as it’s called there) has always been the “heart” of the Infinity Gauntlet. This is even implied by the orange Soul Gem’s prime placement on the back of the glove apart from the rest on the knuckles.
The Soul Gem has often been associated with Adam Warlock, a powerful cosmic being who at one point wore it on his forehead. Fans long thought that Adam Warlock would eventually make his MCU debut with the Soul Stone, but director James Gunn revealed that the cocoon tease for the character during the Guardians of the Galaxy Vol 2. post-credits scene would not be followed up on until the third Guardians installment, meaning that the Soul Gem will be found elsewhere.
Given that the Soul Stone didn’t show up in Black Panther, we’re assuming that it will show up in Avengers: Infinity War itself. Black Panther director Ryan Coogler told IGN that he didn’t include the Soul Stone in the movie because the story already had its own McGuffin in the form of Vibranium, and that Marvel Studios never considered putting the stone in the movie in the first place.
However, some fans are holding onto the theory that Wakanda holds the Soul Stone because Thanos’ army is shown attacking Wakanda in the trailer for Avengers: Infinity War. Why else would he assault Wakanda if not to get an Infinity Stone? Perhaps at the core of the Vibranium meteor underneath Wakanda is the Soul Stone. That would explain why the Vibranium-infused Heart-shaped herb allows the Black Panther to commune with the souls of the dead.