If it's something that's easily re-downloaded, I usually mount the DMG, copy the application into my Applications folder (or run the installer from the mounted DMG, whichever it happens to be), then I unmount the DMG and throw it away. I can always redownload it later if I need to. If I decide I don't want the Application, it's usually a case of finding it in the Applications folder and dragging it to the trash.
If it's an application updater file, like those from Adobe to update Photoshop from 7.0 to 7.0.1 or something, I'll install the update and save the DMG into an "Updates" folder (mine's organized meticulously, but that's just OCD) in case I need to reinstall the application later... I don't need to redownload all the update files to get my system back to fully-updated condition.