When in the 3d warehouse it asks if you want to download it into the current model.
I often will download it into a NEW model, and then I can save it separately in a folder on my system.
I do this because often I only want part of a model from the warehouse, and sometimes I just want to see how they did it and then redraw the parts that I want on my own.
I've spoken with Dave about this, and he mentioned that one problem with the 3d warehouse is not all of the people uploading models are super skilled, so you can often end up with ridiculously huge models out there, which clutter up your sketch and hog your CPU.
(but with planning a shop I did exactly what Bart is doing... I drew up the shop, and then download models of tools and placed them in the shop model to see how they fit.)
...art