Threads for a particular project I wind around those little white cardboard things and label them with the colour for the project and their DMC number. I keep them in a separate box while I'm doing the project then when I'm finished I store them in plastic organiser boxes (like fishing tackle boxes) with similar colours together.

Thread I have not unwound I put in plastic zip-lock bags with threads of similar colour. I probably have about 6-8 different bags of threads I just store in a shoe box.

I think that DMC organiser system looks cool, but a bit exxy.