Maybe this is "old news" but I realized only a couple days ago that since the mac can save to pdf, and windows can save to pdf using PDFCreator (an excellent open source pdf creation program), why not just created pdf's of receipts instead of printing them out when 99% of the time you don't need to? So I've started to get in the habit of doing just that.

As far as a file naming convention, I'm using (date)_(website or store name)_(order number)_(brief description).pdf. Some examples:

2006-09-25_buy.com_2231_10ghz laptop.pdf
2004-03-16_ebay_2154939820_haunted mason jar.pdf

I know most of that information can be obtained just by using a search program that can search inside pdfs, but this includes all the information I would probably need if I had to find a receipt quickly. The only downside to this, in order to have one place for everything, that means you need to scan any receipts you get from stores and restaurants as well, which could get tedious if you buy a lot of stuff in person.