Get yourself a mini photo album with 12 slots. As you can see mine is from Paperchase, but you can get these in all sorts of places.
If you think you will need more receipt storage, you could always get a bigger album or get one of those expandable files. The idea is still the same, one wallet/section per month.
Take your labels and write the name on each month on them. You could always print these out or add pictures. Anything you want to jazz it up.
If you don't have any labels you could always use post-it notes or scrap paper either inserted in the wallet if it is clear. If not, just tape it to the front
Stick the labels onto the front of the pocket so each slot has a designated month. This will make it much easier if you have to find one later on.
Pop your receipts in the slot. How often you do this is up you really. At the end of the day. At the end of each week. Whenever your purse is overflowing with bits of paper! Whatever works best.
Make sure you put your receipt wallet somewhere safe. Not one of THOSE safe places where you can never find stuff again. Mine will be going on my bedside table.
There! You'll never have to scrabble around for a missing receipt again. This will be useful if you need to return something or it breaks etc. It could also help you analyse your spending habits. =]