I just discovered (thx to Micha Werner) an excellent software for bibliography. So far, I had tinkered with an Excel sheet and the mail merge functions of Word, which advantageously replaced Endnotes for the use I had.
But ZOTERO, developed by George Mason University beats everything:
– excessively user-friendly (you can start using it without training)
– not exactly a software, but an add-on incorporated in your Firefox browser
– detects automatically and imports in a click the references displayed on the webpages you are browsing (like your search results page on J-Stor or Science Direct)
– allows you to tag, comment, classify, link, import and export all your entries (e.g., from and to Endnotes)
– integrated to Word
– formatting styles for journals available in rapidly increasing numbers
– and in a very preliminary beta test: allows you to host all your bibliographical files (pdfs etc.) on a distant server. So that you access all your bibliography + files from any computer.
– free licence.
Endnotes is seriously threatened! (Thomson Reuters, which develops it, tried to fight Zotero on legal grounds – and lost).
I have never heard of senior historians of economics sharing their experience on organizing their archives and bibliography, as if it was dirty kitchen work, not worth revealing.
But PDFs, pictures from the archives, stacks of photocopies, interviews, photographies, correspondence…, all of this has to be professionally, or at least seriously, organized. Above a couple of hundreds of references (not mentionning thousands), it becomes hard to manage it in DIY mode.
There are nice tools out there to do it, and they would be worth advertizing to the students starting a PhD. It will become all the more relevant that the archives used by historians are diversifying: entries of blogs, websites, emails, videos, files in all formats, softwares… digital archiving is a technical business. Zotero has been developed by the Center for History and New Media at GMU, and that should be an encouragement for historians of economics to board the train.
History of Economics Playground Redux 
They may have lost in the court of public opinion, but this case has not yet gone to jury trial.
It is fantastic. I saw an article in the NYTimes and tried it out. It does loads! Archive web pages, and integrated filing and note taking.
We’re enjoying it too! We are using it in our fieldwork, and have written about how pleased we are on our project blog here: http://networkrealism.wordpress.com/2009/05/29/zotero-for-research/