Your highlights and notes can only be stored in the one file on your kindle.
If you are making notes on books bought from Amazon then you can also view the clippings online which you might find easier:
http://kindle.amazon.com/home/welcome
The other thing which might help is if you precede every note with BC or some letters to indicate Book Club so that you can search through your clippings file and find all your book club extracs faster.