I keep the xxxxx.dmg file in a folder on my HDD and when it starts to get a bit unruly I burn it to CD then trash the folder. Whilst the folder is on my HDD I keep the versions of the software up to date (delete messenger601.dmg when I download messenger602.dmg etc.) that way if I ever delete a program or do a fresh install I don't have to download them all again.
When you're on a dial-up connection downloading any software is a pain in the arse so it helps to keep them somewhere easily accessible.
FWIW, when I saw the OP's question, I was thinking in terms of a mounted image. In my case I use dmgs for my files. I have a total of 7 different dmgs that I mount at various times.