1. You'll probably be getting a contract, whether you sell it to a magazine or an anthology. Read it carefully, pestering friends and other writers for help if parts are confusing. Ask your editor/publisher for help with this if you need it. Do ask on the newsgroup, misc.writing, if you can't find clarification any other way. If they ask for electronic rights, think carefully about whether you want to sell them. Often editors are open to negotiation on this point. I generally sign for 'non-exclusive electronic rights' -- which means they'll get to make an electronic version of their anthology if they want, but I'll retain the right to keep a copy of the story on my web page and sell it as a reprint to other electronic markets. It's up to you how you want to work this and other details of the contract...just remember that contracts are not written in stone, and they won't take back their acceptance just because you question some of the details.
2. You've dealt with the above and have a signed (and possibly countersigned by them) contract. Great -- now keep a copy! There are all sorts of reasons why you might want to reference it later, and it is much wiser to play it safe and keep a copy. You can file things however you like, of course -- I recommend creating a folder for contracts/ invoices/etc. In it, I'd put all the information you get from your editor regarding that story -- just print out the messages and keep copies of the snail mail and paper clip them together and stick them in there. I'd also keep a copy of the check you'll get there (I don't this as often as I should). You might want to get a black ledger book and list it as writing income as well (another thing I keep meaning to do). It really does get hard to track such things, especially to remember what year you received a check in (often not the year you sold the story in).
3. You've done your record-keeping for that particular story. How are you doing for your overall writing record-keeping? I also recommend starting a file in which you'll throw all your writing-related receipts. These are tax-deductible, and both the nice people on misc.writing and misc.taxes are very helpful at talking you through your first set of writing-related tax forms. If you just make a folder and toss the relevant receipts in there periodically, you won't have to think about this again 'til tax time. Things you can deduct: any books (except cookbooks and computer manuals and things that are obviously not related); travel expenses if you go somewhere and write a story or article about the place; writing/sf convention expenses, including registration fees; tuition for graduate school in writing if you choose to do that (counts as professional development, now that you've sold a story); mailing expenses; a computer (if you use it solely for writing-related work -- so no games, but net is okay) and internet access charges....etc. and so on. You need to make a profit two years out of three to continue to consider yourself a working writer for tax purposes (rather than writing as a hobby), but the profit can be as small as a dollar, and you govern that by how many deductions you choose to take. If you keep all the receipts, you can then take all, some or none.
Getting started with the right procedures is much easier than trying to fix them later (as I'm discovering).
Good luck!
- Mary Anne