I keep one in my user profile. The rest I keep in one Word document, divided by the forums where they're used. (i.e. all my Survivor sigs are together.)A second Word doc holds every sig I've designed for you peeps.
Basically, I copy and paste from Word for anything other than my current sig.
When I get some time I'm going to figure out how to host my sigs on a seperate server -- then I can do some really interesting sigs.