I have a 256 MB CF card solely for the latest firimware. I keep the most recent firmware versions for my D4 and D2X on the same card. I keep this card in a case (Sharpie'd in red diagonal stripes!) in the front pocket of my camera bag.
I keep ALL the firmware files (for the D2X and D4) in a "Nikon" folder on my MacBookPro. I've never had to go back to a former firmware version, but I have them Just In Case.
I have another 256 MB CF card on which I keep my usual bank settings (Its case is covered in blue diagonal Sharpie lines) for both these cameras. (And a backup in the same "Nikon" folder on the MBP.)