I keep all mine on my Sony. I have a collection called "Read" which I move the read books into, and I delete them from whatever collection they were in to begin with. I feel like it's an extra backup if something ever happens to my computer and/or its external hard drive. So essentially my library is stored in 3 places... maybe that's a little much but what can I say.
I like organizing the books so my device has never been "cluttered".
I also like to highlight funny or interesting passages and go back and re-read them sometimes, so I need to keep those books on there.