A great idea, if you can figure out where to put it. Many ideas have been proposed  pumping it into old oil and gas fields or saline aquifers, to name a few.

At the Lamont-Doherty Earth Observatory of Columbia University, researchers propose injecting CO 2 into deep-sea basalt formations, specifically a huge expanse of the rock under 8,000 feet of ocean on the Juan de Fuca plate in the Pacific Northwest.