I use to save my roaches, but they stink so fucking bad. I hate the smell of them. So I started rolling with a cardboard filter at the end. It's pretty much just a small, rolled up piece of cardboard that you stick in the smoking end of the joint. Gives you something to hold onto without the use of clips, and allows you to smoke the whole thing with no roach. Which I like. No roach, good!

Some of my buddies keep a small film case handy and they just stick them in there. Once it gets full, they either smoke them up or make oil out of them.