Of course, it is their prerogative, and in fact one of our revered mentors told us himself that he doesn't really keep notes. But if you'll indulge me I'd like to put down not just my How, but my Why.
As writers, our careers at their basic level seem to be almost entirely based on two things:
1) Our ideas, and 2) Our ability to convey them.
To talk about them in reverse order: The second one, Conveyance, is about Skill, Instinct, Study, Experience, Flexibility and so on - things covered in the majority of articles both here and on other sites. If I were to over-simplify the principal, I would call it the Quality.
The first one, Ideas, is about Inspiration, Productivity, Creativity and Brain-Storming Ability. Roughly speaking, it is the Quantity. People always tend to sneer at Quantity, but if you only have one idea every 10 years, it really doesn't matter how good that idea is.
Now if I was blessed with such a mastery of the Quantity that I always had a solution to this or that script problem, or could instantly come up with the perfect original gag on the spur of the moment then hot dog, that would be dandy.
However, if you're human like me, you will have your off days, you'll draw a blank or maybe you'll just be plain ol' bashing your head against a wall. Well, it's on those days that your Muse is visiting an Aunt, that Idea Archival comes to the rescue - think of it as a Quantity supplement. Years of un-copyrighted material ready for the picking.
Winter has come and you have a hollow full of nuts. Delicious.
I have, as of two years ago, completely digitized my notes. I use MacJournal, created by the wizards at Mariner Software - and yes, for all of you brave people still battling through the murk of certain other Operating Systems, there is a version for you. (EDIT: It is now available for iPhone and iPod Touch)
This is probably my most invaluable writing tool... directly under actual scripting software of course.
Luke has made better use of this than me (mainly because I don't have a voice recorder, and he does) but not only is it more portable and easier to record the more complex ideas, but it captures the feel and energy of the original creation.
For the longest time we didn't use voice recording simply because it was too hard to store them, or to find the right note. However, ever since finding that MacJournal holds audio (not to mention pictures and video), it's been a simple matter of pasting it in and writing a simple descriptive caption.
This one might just be me, but it's a free and constant source of uncontrolled creativity. I've gotten some very interesting visual ideas over the years that I would have never come up with myself, as well as even some potential short films.
Not to mention disturbing glimpses into my raw psychotic innermost.
So they are some of the ways I record my ideas. In passing I'm also going to mention the Image Archiving post, even though it's more about Inspiration rather than actual Ideas.
I'd love to hear your methods for documentation. Take a screenshot of your Folders and post a link in the Comments section - Or copy down your MacJournal layout - Or even take a picture of that tattered cardboard box with the reams of unsorted A4 poking out from under your bed. Whatever you have, let's share it with the group.