Personally, I review everything online and then keep all of my case files on a zip drive -- saved as PDF files -- so that I can review them at my leisure (I don't have the money or resources to print everything out as I would like) if I know that I won't be able to log in for several days. I also keep a running MS Word document with my thoughts and connections for the case with notes like:

"Victim spoke to John-Doe on Date, but John-Doe stated This during his Interview #1."
Sometimes I will copy and paste pertinent comments from interviews or evidence verbatim so that I can reference them later as well.

If printing them out and writing on them is the best way for you get your thoughts in order, that's wonderful too! Everyone operates differently. I know several people on the site use GoogleDocs so that they can have their comments and the case files open at the same time, and many of them recommend that as well.

Hope that helps, and Happy Sleuthing!!