Almost every item, small and large, that we have ever received for our son has come with a manual. Some of them are obviously recycling (when will I need a manual for a ball?) but some may come in handy one day, if only when we resell the articles at a garage sale.
We use a large filing bin with files labeled "small toys" "large toys" "furniture" etc., so I can easily pull out any manual when I need it. If I have any small spare parts or item-specific tools, I put them in a small baggie and staple it to the manual to keep it together. If there are large items that go with it, like a spare tray for our booster seat, I mark on the manual where it is, in pencil just in case we move it. For example "Spare tray on second shelf in storage room."
Incidentally, we have another box that we use for non-child related manuals separated into outdoor appliances (lawnmower, bbq…), large appliances (washer, dryer, fridge, stove, dishwasher, furnace…), kitchen appliances (blender, espresso machine…) and other (alarm clocks…). It works for us!
I’d add one thing: if you can, staple the receipt to the manual in case you need to return or exchange the item in question.