I think my approach would be to do the opposite - practice first on single sheets, and then have my practice sheets bound together in some way: keep them in a file folder, staple or clip them together, bind them with a spiral, or have them really nicely bound, etc. It would all depend on why I was preserving them and how much money and time I wanted to invest in the project.
Another thought is to digitize them and have some (or all) of them laid out in a book (or lay out the book yourself) and printed in paperback or hardback through a service like Blurb:
www.blurb.comAll of that being said, I keep mine in a file folder in a file box, but I don't have too many practice sheets. Most of my work pertains to projects, and all of the original calligraphy is filed in folders by project, along with the guest list, emails, invoice, etc.