I assume you mean electronic data sheets in PDF or the like.

I store all mine by manufacturer, which works well until TI buy Burr-Brown etc. That's not mensa stuff of course, but what I also do is for every project I set up a directory full of shortcuts to the datasheets of the devices used. The shortcuts directory becomes part of the project documentation. It's a real lifesaver when you come back to a project after a couple of years and can't remember who makes an NDT014!