Always keep the following documentation for all your contracts:-
1. The actual contracts
2. Your decision making process behind your decision on each contract
3. Confirmation from your client and agency in relation to Personal Service, Control and Mutuality Of Obligation.
4. Correspondence detailing lack of any of Personal Service, Control and Mutuality of Obligation
5. Copy phone lists, name badges etc. identifying yourself as a contractor
6. Copy documentation showing your status being identified as a contractor rather than an employee in internal documentation
7. Negotiations over the contractual arrangements
8. Advertising, websites, business cards, insurances etc. applicable whilst in contract.
It is far safer to keep this documentation whilst you can and not try and obtain it in the event of an HMRC investigation.