While some put up links as they find them, I generally save them and organize them before posting. Favorites, in IE, never worked for me and I don't use IE anymore. My browser is Opera and it's Hotlist was much better but it was still lacking for organizing all my links.

David Weinberger, at JOHO the blog!, asked for help in a link organizer and someone recommended Compass. I tried it out for it's 50 day trial period and liked it enought to register it for $25.