Its a hard choice and I think some "tactical" decisions can be made.
Generally I try to keep them, but they do take up a lot of space, pistols not so much they can all go in a box in a dry area but rifles are a pain. If you have an attic or something like that it helps, but paper and graphics fade.
I would use the following logic:
1. If its a gun that potentially rare, keep it and try to store it reasonably nice.
2. If its a gun that is rare with the box keep it.
3. If its not a rare gun (sometimes we dont know whats going to be valuable) but you are not going to shoot it much keep it.
4. If its a common gun like a Marlin 60 that you are going to shoot the snot out of, dont worry about it.
Yes, I do. If you decide to sell the gun, sometimes it seems the box is worth more than the gun itself!