Documenting your sources and where you have researched is good advice every researcher (of any kind) needs to keep in mind. Keeping some kind of research log to document your work and discoveries is essential. You need to know where you have been, where you found each piece of information, and just as importantly, know where you failed to find anything. Knowing where you searched and what search terms you used can help you avoid reworking your research and help develop your methodology.
If you have good research logs it is much easier when you return to a search several months or even years later as you have a clear understanding of what you have searched for, where you have looked and whether you have any uncorroborated leads to follow up. Without this, you can waste so much valuable time duplicating failed searches.
Documenting your research is also essential if you ever intend to publish a family history. Many documents we download have some kind of copyright protection. Often we are allowed to save documents from an archive, database or other resource for personal use only, with permission required if we intent to publish or otherwise reproduce the documents we have found. This makes knowing where you located each document you intend to publish absolutely essential.
So remember to always, always document your research. On day you - or those who come after you in later generations - may be very thankful you kept good research records.