I save as small as I have room for. I just finished a prayer flag (info in cloth, paper, scissors magizine) and I used a teeny, tiny corner (less than 1/2") for applique. Then I used some old string from my thread catcher to make a tree and bush. Save as much as you can store IF you do techniques other than just piecing.
Look at your leftovers and evaluate them according to what you do or think you'll do. Sometimes saving scraps can become overwhelming because you feel like you have to do something with them.