As with everything I like, I'm a hoarder when it comes to fanfiction too. And, even though at first I hated long fics (a fear to print too much that I've already lost) I love them now. So, ways to download and keep fics, and not have to save each chapter separately: two programs and a site that I've already tried.
De-FFNet-Izer: "slurps down fanfics, cleans them up a bit, and saves them on your local computer using attractive, user-customizable templates" - chapter per file, mainly for Fanfiction.net.
Fanfiction Downloader: created by someone with my problem and more knowledge - chapter per file or all together, several formats, for several sites.
FicSavers.com: I registered today, as kyou with the new pass, because I like the idea of being able to save sth I just found from any computer - chapter per file, several sites and format options.
Now I need sth to rip fics from Livejournals or other blogs. *sigh*