I have a series of sub-folders in the genealogy folders on my computer (one for BMD certificates, one for parish records, one for census records, one for wills etc) where I store scans or downloads of original documents, as well as folders for family and place photos. When I save the scan/download I put the person's name, date, and location of the record in the file name (the location in particular is quite important as it's not normally written on the page for parish registers etc.)
Like the others, I'm progressively linking the images to the relevant facts in my family history software. I have found that most software has a provision to change all the relevant links if for any reason you change the location of your image folders (my links even survived a change to new software and a new computer with a different folder structure).
I have been very disciplined as I work through FindMyPast's addition of the scanned parish registers for Devon to download and link images as I go.