I keep my thesis notes on notebooks. I do photocopy copious amounts of material but that is expensive. I also print out stuff that I gack off the web. There's a lot of good stuff there now, mostly in the War Diaries which the War Memorial is putting up, and in files digitised by the archives. I have the laptop and handheld computers but they have found them cumbersome to use for notes (although you have to use them in the US, where notebooks are banned!). I have been known to use the digital camera to capture stuff.
The real trick with notebooks is being able to find anything in them afterwards. On re-reading documents are in fairly (but not completely) random order. I keep elaborate indexes at the front. Normally I update them while waiting for documents to be retrieved.
My notebooks are standard sized exercise books. On The Old Thesis I started with a 120 page book. When that ran out, I moved to a 240, then a 320. This time I started on a 320 in the first place but I've now filled up three of them, so I am closing in on 1,000 pages of handwritten notes.