I am in the process of doing this. I remove the pattern from the magazine, put it and any templates in a clear page protector and put it in a binder. I've divided mine only by type of item - quilt, wall hanging, bag, etc.
I do it in two parts. First I remove the pattern and put it in a pile, then in a week or so I go through the patterns again and usually end up realizing I don't want about half of them!