You aren't required to do so, but file them with your aircraft documents. A lot of people use an expanded file, but you can use any number of systems to keep your documents.
Are you talking about a certificate of conformity, or just a piece of paper stating the TSO number?
Generally speaking, anything you get with a part needs to be retained at least until the part is replaced. I like to turn it over or write on a corner or margin the installation date and aircraft times, serial number, etc. Just makes keeping paperwork together a lot easier, especially for someone ten years down the line who doesn't have the benifit of knowing first hand what was done.
