I usually grab a jpg or pdf by right-click - Save File as. I will save it in a personal set of genealogy folders in My Docs.
I will almost always attach that item as an image to a source. When I do that I will COPY (ie not LINK) the item into my FTM Media file.
The FTM media file then becomes a backup for my images. They are also much more easily findable as citation media, as you can find it by Person > Fact, Citation > Fact, or even the FTM filter at the bottom of the index. You can Copy a citation with media attached and then Paste-Link that citation to multiple facts without duplicating the image item.
Sometimes I may find a photo of a person, where I will copy (not link) the image into the FTM media file and attach it directly to the person. This is rare. Most media items are pdfs from books or docs or jpgs of books or docs.
I never link images from FTM to another place on my hard disk. I copy the image instead. You can move and delete files today, without remembering you linked to them from FTM five years ago, and not discover it till ten years from now. Also, any change in the directory path will destroy the link. If you COPY all images to your FTM Media Folder, they'll always be there. I do use LINK to link to a media item that is already in the FTM Media folder. But, again, that is rare.
I also often use *.txt files as media. This is where I've transcribed something (obituary, will) or have received an OCR conversion of a pdf document (after going over it with a fine tooth comb because of all the OCR mistakes). I prefer .txt files over Word docs. Less overhead, everybody can read a txt file, etc.