I just leave them in the folder they were downloaded in if they're lossless shows (I put the folders directly under the My Music directory), and I put my lossy stuff in a folder called "Oggs" (another subdirectory of My Music) and have an individual folder for each lossy album as a subdirectory of the Ogg folder.

My lossless stuff doesn't stay on the hard drive too long though--I've got a mere 20 gigs of hard drive, so it's burn as soon as I get it, almost.