Yeah, it will go to the first free slot when you equip.

But like any other action, you can make it swap places with an ability that is already on your bar. So, for example, if Guard is currently in slot 3, but you want it to be in slot 5, you could place Provoke in slot 5 (to get it onto your hotbar), then try placing Provoke in slot 3 (on top of Guard). This will swap the two abilities, moving Guard to 5 and equipping Provoke to 3.