I just have a huge library of PDF files which I have renamed to have the actual part number in the name (as they often do not) and which I have placed in sub-directories for Logic, mosfets, resistors, etc., etc., so I can find them reasonably quickly.
I just download them as I need them and store them away for future reference. It's really only an issue for off-line use or where the datasheet is particularly hard to find.
Some sites give sufficient access to (say) an FTP server that you can scrape them, but it's a bit rude, and you'll probably end up with stuff you'll never use.