I keep mine too
(well except LOVEppears and Duty cuz they're oversea version). Everytime I open a new cd, I will just take the cd out and put it into the cd case that I keep all the cds in. I will seal the cd with the plastic wrap and store it into a drawer that I put all my cds in.
Like others said the OBI slips serve some purposes. However if you dun care about it, it doesn't matter what the purposes are. If you treat the whole cd as a treasure, then you can keep it. If you love being perfect, you keep it. If you just want the music, dun let this small slip bothers you