I've got mine stored in ring binders (19 binders each holding up to 5 laminated sheets) and sorted by theme - alphabets, sentiments, single images, background stamps, flora and fauna, Christmas and scrapbooking. Then, where I've got sets they tend to be in binders by make - Joanna Sheen, Sheena, Glenda Waterworth, Creative Expressions and finally my Clarity folder.
I don't have an index but I tend to know where to find what I want and I've only got a few hundred

Jan