Let me start with listing the different possibilities:
- Store your documents as an attachment of a Work Item
- Store your documents on the SharePoint portal (or documents folder in Team Explorer)
- Store your documents in Source Control
Store your documents as an attachment of a Work Item
You can store attachments in work item. This is convenient because you have all the extra information (such as screen dumps, xml schemas, diagrams etc.) together with the bug or task.
On the other hand it is more difficult to find attachments.
Conclusion:
Store attachments in a work item if the file is only related to the work item and not to other work items or requirements.
A screen dump of an error is a good example of an attachment, but a diagram for some functional design can better be stored somewhere else.